Mensturation/Period.. (ewww I Know guys..lol)?

Ok so... I'm in my very early 20's... "just" started having and I'm a small woman, don't sleep around.. very tight.. my bf says every time he does it with me it seems like mine/our first and my question is that I wear pads., no tampons..... can I work out with a tampon even if I'm tight..I do cardio, ab work out and weights nothing major just so I get stronger... None of my friends wear pads anymore expect me... Just wore my fist tampon last night.. Is it safe to go to the gym with it... I'm a rookie... and would like detailed answers.... Thanks a whole bunch