How many stitches are you using? I have done 3 and 4 stitch i-cords but I wouldn't want to go any higher than that. I do find that the stitches are a bit 'challenging' to get the needle into sometimes. Not really hard per se, just different than regular knitting. If it looks right then it probably is right and you will get the hang of it and it will become easier.
Yeah, I think it's because when doing an i-cord you are using so few stitches that when you pull the yarn over from the opposite end to start the next row, it tightens everything up and does make especially that first stitch really tough. Perhaps you don't have to pull quite as hard on the working yarn for that first stitch?