You need to insert them pretty good with the thingy that comes with it. It gets softer after a while. You'll probably get used to them in a while. You can find different sizes and brands, but it's soft so you're probably just not used to it.
About the breathing, you're overthinking here. if you go stand in a quiet room I bet you can hear your breathing. if you pay attention to it, you're hearing it. It can't harm you.