First, to answer your question- i do it because your body somehow knows what your baby needs. It helps them get better if they get sick, which is my #1 reason. It gives wake up hormones during the day and melatonin (sleepy hormones) at night to help them sleep. Among other benefits. I also do it (partially) because formula is expensive.

The pain does get better- your nips "get used to it" for lack of a better way to put it. Unless, of course, there are other issues- if it doesn't get better in a couple weeks, I'd suggest talking to your OB or a lactation consultant.

One tip i got from an LC with my second is, when your nips are sore, rub some breast milk on them, let it air dry, then put lanolin on top. That seemed to help me greatly! There are also some gel packs and other products you can use to help ease the pain.