When babies are small, the initial latch (while they try to draw the nipple to the back of their mouth) can feel painful because it is getting sucked and squashed and pulled. Once baby is actively feeding this pain should go away because the nipple is no longer rubbing against anything, it is right at the back under the soft palate (not under he hard palate which is where rubbing usually causes cracks). Of course early on your nipples are very sensitive due to hormonal changes (have you tried towel drying yourself in the early days - ouch, I wanted nothing touching me) so everything is magnified. It isn't so much that your nipples toughen up (otherwise we'd see callouses like on our feet) but that as baby grows and can open their mouth wider, it takes less messing around to get the nipple to the back of the mouth, plus your nipples stop being so sensitive as hormones even out (you will towel dry yourself again!).
If the pain lasts longer than the initial 20 or 30 seconds, then it needs investigating. If your nipples are misshapen after feeds (squashed, angled etc.) then it needs investigating.