Yes, it does seem like a LONG time between finding out you're pregnant and getting that first dr. appointment. My doctor waited until I was almost 9 weeks before they would see me. But on that first appt, they did a vaginal ultrasound and we got to see our little bean. It was a huge relief! I also cramped a lot the first few weeks after finding out I was pregnant. For a long time it was on the left side, then it was on the right... but never any bleeding. I always called my dr. when I thought it was necessary; once they had me come in and checked the baby's heartbeat and looked at the possibility of a kidney stone. It turned out to be ligament stretching (this was around 18 weeks for that one). But again, I did experience extreme period-like cramping early on (4-7 weeks). My dr. told me that it was normal, that the uterus was prepping dealing with a new tenant (along with the extra hormones).
If you do feel serious pain, go to the ER or your doctor though. Dr's are used to us first-time mommies-to-be being a little more concerned than anyone who's already gone through it.

Good luck and congratulations!