Yes, generally at some point during your treatment, you will experience some pain and discomfort. At the appointment to get your braces on, you should feel absolutely no pain. The brackets are glued on with a composite glue and there is nothing done that would cause pain. Most people experience discomfort during the first week right after getting their braces while their teeth are getting used to them, but you can have discomfort at anytime during the course of treatment, especially after an appointment to "tighten" your braces.
Some patients have no pain and some have more pain - it completely depends on the individual. The best way to manage your discomfort is with over the counter pain medications, such as Advil or Tylenol. Please take the recommended doses for your age and weight and make sure you have no contraindications, as per your physician's orders. Also, eating a soft diet (foods like Jello, mashed potatoes, etc) for a few days will help.
Few people experience sores on the lips and cheeks right after they get their braces. Your mouth is getting used to having something new in there and the cheeks toughen up after 1-2 weeks. You can use an over the counter topical anesthetic to numb up the area, like Orajel or Orabase. Consult with your orthodontist and follow their instructions.