You can try gently rubbing your clitoris and trying different patterns and pressures untill you find out what you like. If you do not want to directly touch yourself, you can do it through your underwear. Some girls like to rub themselves against a pillow, but be sure to have something inbetween yourself and the pillow.
No, you are not supposed to hurt when you masturbate. It's supposed to feel good.
I take it that you inserted the clay penis? It may be that it hit your hymen and that where the pain came from. Or you made it too big. If you try inserting other things, make sure it is really clean first and be sure to wash it again when you're done with it. Do not force anything inside that makes you feel uncomfortable, pain or otherwise.
Take it easy and be very gentle with yourself. Basically experiment until you find something you like.
I hope this helped you.