When you're new to cycling, you may go through an acclimation period of a couple weeks even if you've found the perfect saddle, so don't be too hasty in your judgement. That said, there are some pains that you'll get used to and some that shouldn't be ignored. Tenderness caused by pressure between the saddle and sit bones is something that'll diminish. Numbness of your manly bits is something that you address right away.
Cervelo did some research and came up with some guidelines to saddle selection; it's a nice place to start. Do a search for "Cervelo's four and a half rules of saddle selection" or something like that.