Your penis needs time to adjust to being exposed and 3 days is still very early in your retracting journey. The pain you're describing could be the urinary meatus adjusting to friction that wasn't previously there, or could be your frenulum getting sore from rubbing on your underwear. I've also found on occasion that if my foreskin is sore from skinning back then it can feel like it's coming from the urethra (referred pain).
Most people find it all settles down after about 2 weeks, but you absolutely have to apply common sense: If you're in agony then stop immediately. If you're in real pain then give it a rest for a while. If it's only a minor discomfort then it's probably safe to push through it. If anything looks wrong in any way (e.g. discolouration, or any sort of evidence of cut-off blood flow) then you need to stop immediately. If anything is horribly swollen then you should stop. But if it's only a small amount of swelling and it doesn't hurt then you're probably fine to continue.
You can expect some small changes during this period: the glans may change colour slightly. At first it might look a slightly angry red as it gets used to being exposed, then later it may become a more washed out shade than you're used to. You can expect the foreskin to swell a little as it adjusts to being exposed to the elements. You can also expect some dry peeling skin on the foreskin and the glans. All of this is just your body adjusting. But if anything alarming should happen then you will need to stop skinning back, again… apply common sense.
Beyond that just take it easy and give yourself time to adjust. Don't be afraid to have a rest from skinning back if you're sore (even just 24 hours off can help let things settle down before restarting the process). And have fun. Good luck!