Agree w/ pp that you should stretch out and roll it back before putting it on.
It may be helpful to express milk into the tip after you have it on. Gives baby immediate reward and tell him/her this is the right place. Also may calm a baby who's really hungry and has a strong suck.
The baby's lips should be on the flat part of the shield. The whole "hat" part should be in baby's mouth. The shield should stay flat and not move in and out of babys mouth as baby sucks.
I put baby's mouth on the shield - nose to nipple - rolling baby's head from bottom lip up.
I also hold my boob to keep the weight of it off the baby's mouth.
Look at the lips, are they rolled out (vs tucked in?). Roll them out if they are.
If you feel pain while using the shield, break the latch and restart.
Never keep nursing with painful latch. I know I some times didn't want to stop baby when she finally got going.
Keep trying! I'm a second time mom and I thought BF'ing would be easier second time around. Establishing a good latch (pun intended) sucks and I got cracked bleeding nipples too.
I used the shields for a couple days until my nipples healed. (Alt with air drying nips, medela lanollin and the soothies). Now I'm working to get baby weaned off.
Be patient with yourself and baby. Take deep breaths and relax as much as you can. You will get this and eventually it will be so easy you can't believe you had this much trouble.