Having a little discomfort for a day or two after starting with any new appliance is to be expected and is normal. What isn't normal is when there is swelling, bleeding, or any other problem with the teeth or gums that just seems unreasonable. You should also call your orthodontist if there is a part of your appliance that is persistenly irritating you or you notice somthing that just doesn't seem right. There are also many simple orthodontic emergencies that you can take care of at home. My blog post called "Home Remedies for Orthodonic Emergencies" has some helpful ideas.
If you are in doubt, don't hesitate to call your doctor's office. They'll let you know what you should do. Good luck!