Firm is good, tightness is bad. You're going to feel constricted in a corset, that's the nature of the thing, but it shouldn't hurt.

When I do my wife's, I try to keep a constant dialogue about how it feels. I may make it a bit snug, but if I do it's because it's intended and I know to take it off soon. Ultimately, you need to keep aware of how your body is feeling and I would suggest starting out fairly loose and wearing it around for an evening (you should be able to wear a corset for several hours -- if you can't, it's too tight). After an hour, if you'd like it tighter then pull it a bit and do that for an hour. Basically, get to know how firm is tolerable, so you can communicate that.

I also strongly urge you get a quality corset. There are alot of sexy but very non-functional corset-looking teddies or whatnot out there -- avoid them. A good corset provides support and even pressure, and is well worth the investment (and yes, they're triple digits easy). Go to a dedicated corset shop if you have one nearby; we like: http://members.aol.com/fittingrm/

From their FAQ:

6. How tight can I lace my corset?

A corset doesn't need to be uncomfortably tight to do it's job. I recommend snug. If you choose to wear it as tight as possible, it won't last as long, and you can do harm to yourself. If you choose to "tight lace" or "waist train" , there are many sites devoted to those lifestyles, and please do your research. Waist training is a fetish lifestyle choice. It is not something you do for two or three months to look better on your vacation.
Enjoy!