I am no expert on clipless pedals (only on not being very good at using them!) but I had terrible knee pain the first time I tried them. We figured out that it was because I had not been putting my foot on the right part of the pedal before, so when the clipless pedals forced my foot into the right position, it meant that everything else about my riding position was slightly out of whack.

So yeah, you might need to adjust your saddle height or fore-aft position a little bit.