Should an orthotic hurt?

In a word - no, but during the break in period you may experience some tenderness or discomfort over a one to two week period.  This very mild discomfort may occur when the instability is rather severe and the orthotics change the foot's position dramatically into a better position.  This change of position changes how certain muscles function and causes some to work harder (those that were not doing their jobs) and some to work less hard (those that were being over worked).  
In short, the changes you go through when breaking in a pair of orthotics are nothing more than your body adapting to a stronger and more efficient position and ultimately correcting the uncorrected position, which led to the aches and pains that brought you into the doctors office in the first place.