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As you've probably already seen in the grocery store, tampons come in a variety of types and sizes. Here's what's easiest for your first time:  Buy tampons with applicators. Tampons come in two basic types: with applicators, or a plastic tube that will help you push the tampon up into the vagina. Having the help of an applicator will make life easier when you're first learning, so choose a box that includes them. (In the U.S., O.B. is the primary brand that sells without applicators––most other brands have them.) Pick the right absorbency. Absorbency is a measure of how much absorbent cotton is in the tampon, ranging from light to heavy.  Most women use heavy absorbency tampons during the first day or two of their periods when bleeding is heaviest, and transition to lighter ones toward the end.  If you're concerned about pain, though, try buying light absorbency tampons. You'll have to change them more frequently, but they'll be slimmer and more comfortable. A good beginning tampon is Tampax Pearl Lite. You can also just get "junior" or "slim" tampons. Using a smaller sized tampon at first will help you get used to inserting them and they will also be easier to take out. You can buy heavier tampons later if you discover light absorbency doesn't work for you. If you have a heavy flow during the day, it may be handy to use a pantyliner or thin pad along with your tampon, in case the tampon overflows. Overflowing can happen even with heavy absorbency tampons, within 4 hours. It might seem weird to wash your hands before you go to the bathroom, but it's a smart move in this case. Tampon applicators are sterile, and washing your hands keeps any infection-causing fungus or bacteria off them. If you drop the tampon on the floor, throw it away. It's not worth saving a few cents or even a few dollars on a tampon if you have to go through an uncomfortable and painful infection.
Buy tampons. Wash your hands.