First off, don’t force anything that causes you pain. If you’re a virgin, then it’s going to be a little uncomfortable and tight down there when you use your fingers (let alone anything else). I have a feeling you’re trying to go too fast and jump into things.
If you’re a virgin and you’re trying to use your fingers or other objects to penetrate yourself, then yes, it’s normal for it to hurt in the beginning. It shouldn’t be excruciating, but yes, it’ll be uncomfortable. If you’re not a virgin then you should not be experiencing pain like that. You might be trying too much without being prepared (lubricated).
Go slower. Relax. Set aside plenty of time for yourself without feeling like you have to rush. Rub yourself through your underwear, slowly build up your arousal, play around and find what makes you feel good rather than doing what you think you’re “supposed” to do when you masturbate. You don’t have to put your fingers inside you at all!
You can play with your clit (circular motions!). Hump your hand or anything else you have available (ie. roll up a blanket and put it between your legs or use a firm pillow or even a stuffed animal!). Move your hips and rock against it, grind away to your heart’s content and it will start to feel pretty damn good. Spread your legs further, open yourself for more direct contact. EXPERIMENT! Masturbating does not require penetration. There’s no one exact method women use to masturbate. It’s different for all of us.
When you are significantly aroused and very wet, that’s when you consider using a finger or two. And that’s going to be tight and little uncomfortable the first few times so don’t do more than what feels right! The more you masturbate, the more your body will adjust to it, and then there’ll be no discomfort or even the slightest bit of pain!
Honestly, a lot of women don’t even like using their fingers to fuck themselves, they prefer a clitoral orgasm (orgasm achieved by stimulating your clit and the outer vaginal area only). So try that first and work your way up to penetration. Vaginal orgasms are actually less intense and harder to achieve so penetration is only something you would want to help yourself along if that’s what you like, but it’s not necessary.
To sum up? Don’t do any penetration if it hurts. Try other ways and work your way up to it again if that’s something your body is telling you it wants. The key to masturbation is paying attention to your body’s needs!