It sounds to me like the sock doesn't fit right. Compression stockings should be firm but not tight infact, you can do more damage than good by persisting with them.

Yes it is important that you wear it as it helps keep fluid moving up your body rather than pooling in your feet and also stops those nasty veins from reappearing.

Go to your nearest "aids and appliances" shop and get them to fit you for a larger one if possible.

GL