I go all the time., but i feel good after i'm done. It's probably because my body is used to the physical strain that it endures all the time.
Just stick with it, and you will feel good about yourself.
Make sure you are eating right, stretching before and after, and incorporating both anaerobic, and aerobic exercises.
You should be doing it at LEAST 3 times a week, but i go Monday through Friday. (mostly because i have nothing better to do lol.)