Guys as Missileman says the answer is not to stop but to keep going. Regular playing will toughen up the fingertips on your fretting hand causing calluses to form and reducing pain experienced there. Rubbing your fingertips up and down the thickest guitar strings will help the calluses form quicker (only for a few seconds at a time, though). Also try some simple stretching exercises before each playing session and take a rest every half hour or so.
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