This is normal after a few days as your fingers aren't used to the high force required to actuate the switches. Give it a week or so and the pain should subside -- your fingers will get stronger and you'll probably never want to use membrane keyboards again.

Edit: It really depends on the switches, as well. Cherry MX greens, for example, have a much higher actuating force which some people find unpleasant even after long-term use. Browns and reds have a lower actuating force and are much nicer as a sort of "introduction" to mechanical keyboards.