Will it make it more painful

Has anyone (female) had sex without having fingered themselves (ever) before?
Does it really make sex for the first time THAT much more painful than it would be if you've fingered yourself before?

Not really sure how to explain. I'm 17 and have been with my boyfriend for 2 years, looking into having sex sometime soon. I don't really want to finger myself, but also have no idea what to expect.

It's not so much about fingering yourself as being turned on and suitably lubricated before he enters you. If you are really turned on, your vagina will get wet and he will be able to enter you more easily. You could use a good quality lube which will do the same thing. However depending on his size, it could hurt more the first time if he's big.
Most of my friends and I had always masturbated for years before we had sex but I don't know that it made the first time any easier unless, like me, you use sex toys to penetrate yourself.
Sounds like you may not be a particularly sexual person if you never masturbated before. I would suggest you try it and maybe watch some porn - whatever type you think you might lie - and play with yourself. Find out what feels good and what you like. Rub your clit and if you start to get wet, try to push a finger inside and feel around. Once you get past that you can try to insert 2 or even 3 fingers but take your time. It might take you several days to explore your body and see what works for you. Hope that helps:)