If you use a lube, use one that is not oily or greasy, in other words not Vaseline but KY Jelly. KY is made for the vaginal region as well as for other things, and it won't be a problem to your vagina. Vaseline or skin oils can be too heavy for the area.
Also, use a small size of tampon to start (when they give you sizes from "lite" or "junior" to super max, they are not just talking about how absorbent the tampon is, but also about how big around it is.