Its normal. I have had pierced nipples for 2 years or so now. While the surface of the wound has healed all the way through, its a deep wound. It will be more like 3-6 months before you can change your piercings without some sensativity. Spray bactine with lidocaine will disinfect, lubricate and numb them up for a little while.
My current jewelry is titanium and I wont wear anything else! Are the balls titanium or cheap nickel? Youd probably be better off with plastic or hematite or stainless surgical steel.
Hope this helped.