Check, and then double check the heel placement. Heels (the location at the back of your foot) are another all too common source of misery for heel wearers. So make sure that you get the fit inch perfect here. Choose shoes with heels centered directly under the middle of your foot’s heel (left), not at the very back of the shoe (right). This will help tremendously with your mechanics and it will reduce the chances of heel pain.
You can use heat to soften the material of your new shoes. Using a blow dryer, blast your shoes with air (make sure to move the blow dryer around to evenly distribute the air and avoid melting the material). Once the material is warmed up and more pliable, gently twist and bend the shoes in the center to break them in. Don't go overboard and bend them so far that they don't return to their natural shape, or so hard that they break.