There are 3 components to the comfort issue:-First, you have to get the right size and model to fit your body.  This may take a couple of false starts since you usually can't try them on prior to buying them.  If you are buying your first dancebelt, you also don't have anything to compare its comfort to others.  Nobody will ever confuse being trussed up in a dancebelt with hanging out in your silk boxers.  Capezio thongs are wider than the string on an MStevens.  Some guys feel the extra width keeps the thong from getting in too deep, while others feel the string fits better between their cheeks.

-Second, you have to put it on correctly to insure your comfort.  I assume you already know that dancebelt are designed to be worn in the "up" position.  If you wear one pointing down, any slight deviation from absolute flacidity pulls the thong extra tight, and you feel like you are being cut in half.  Take the time to "adjust" yourself when you first put it on.  As part of that, make sure the thong is seated tight, but comfortable.  You can't cheat and wear the waistband low, hoping the thong won't pull.  With any movement, it will shift anyway, except that it's too late for you to do anything about it if you're already in the middle of class.

Third is just getting used to the strange feeling of wearing one.  Most guys aren't used to wearing thongs, and it is a unique feel.  You might consdier wearing yours around the house so you can make adjustments as needed without embarrassment.  Many guys have found the drive to and from class gives them a problem because the sitting posture puts extra pressure on the thong.

Some questions that may help me solve your problem:-how long have you been wearing a dancebelt?-What activity do you do that prompted you to buy one?-what brand, model, and size are you wearing?-Stats: waist, height, weight, age?-How long do you wear it before it becomes uncomfortable?-Have you tried any other models?-Do you wear it "up" or "down"?