Yes, they should be comfortable, but...you just have to be patient. The first time I put a harness on Kacee (we were already outside). I set her on the grass and she went in ten directions at the same time!
It didn't take long for her to get used to it. Walking is her first and most important priority now. Just keep encouraging her. Don't let her make the decision on whether to walk or not. Take her out and set her down.
I get dirty looks now if I don't take Kacee when she expects her walk.
