I used SPD's for the first time 6-7 years ago. Went back to flats after a few months, but now I'm using SPD's again! I can't see myself ever going back to flats.
Start off with as much float as possible and over time, tighten them bit by bit until you feel comfortable.
Also, the position of the cleats on your shoes could need adjusting.
I moved my saddle forwards slightly and this took the slight pain away from my knees that I was having when using SPD's.
It does take a while to get used to them, but it's worth persevering IMO.