In my own experience, as I have not found a way to transfer other people's physical pain unto myself, there are two types of pain: the pain from working your muscles, and the pain from doing something wrong.

The first thing that you should learn when doing a new exercise is what the difference between these two pains are. Then, when performing more rigorous forms of the same exercise, you can establish where you can push through the pain. Is the pain you are feeling exhaustive? Push through. Is the pain something foreign? STOP IMMEDIATELY.

This, I think, is one of the reasons why it is suggested to do a lighter exercise before engaging in the intense stuff. As well, you don't run the risk of learning the difference between the two pains too late into the exercise. In general it follows along with the trite quotes: "You have to learn to walk before you can run," and "Start slow to go fast."