A little finger pain is good! Means you're working those muscles and building the calluses. I have gone through several distinct phases of calluses. At first I had a kind of hard pad of kind of brittle feeling skin on my tips, but eventually those pads kind of peeled as new, tougher, skin grew in underneath. Now the calluses are not as visible, they are more internal, if that makes sense. I still had a fair bit of pain with that first callus, but almost none now.

Stick with it and it will get better very quickly.