They're not supposed to hurt if you're relaxed and well-lubricated, though anal beads give a "popping" sensation as they're removed, which can feel really good but can also be a bit startling if you're not used to them.
If you're interested in anal, it's best to start with just a finger (and lots of lube!), and then look at toys once you get used to that. My first anal toy was this
set of beads, which has more of a "rest" area between each bead compared to the set you have there, and might be easier for a beginner. Alternatively, you could try a small dildo (like this one
) or plug (like this one