Over the counter night guards are inexpensive and you can form them to your mouth by boiling hot water. I have used a few of these guards and they did not hurt when I formed them correctly. The first time I did not melt the plastic enough and this caused the painful gum problem I was having. Make sure you remelt the plastic and try again if this happens to you.
The next problem I have was spitting out the guard at night. Over time I would wake up without the guard in my mouth and it was somewhere in my bed. I ended up buying a professional night guard which was made by a dentist due to this. The guard cost me $450 which seems outrageous to me. It was little better than the cheap CVS night guard, but it was locked in my mouth. I no longer spit it out.
The next problem which I often hear about is that some guards cause people to gag. I have not had that problem, but someone emailed me with a solution of cutting the ends off of the guard so it did not go down your throat. The guard just needs to stop at the end where your molars are.