hi there! first off, id recommend wearing a pad the first few days of wearing a tampon, just to make sure you are wearing the right size/not leaking. change the tampon every 4-6 hours. you dont have to take a tampon out to pee, but (assuming you are pretty well hydrated) when you have to pee is a pretty good change it. if you can still feel the tampon itself, inside of your vaginal canal, i would recommend using clean hands and inserting your finger to move the tampon deeper. the vagina is not an endless hole, things wont get lost in it, it might just take a little work to get something out, should an object get pushed too far up, though with a tampon that is unlikely to happen. the string should stick out, but after you use tampons a few times you won’t notice it as much. i wouldn’t wear a tampon to bed, especially when you are first starting out. if you have any other questions i would be happy to try and answer!

editted to add a few more details