Thanks for the tip on angle. I got SPD and I used to have knee problems as a teenager so - I went to the LBS today for a fit check. The seat got adjusted, but not the cleats, so I must have done good putting them on. I will definitely be paying attention to it as I ride more though to make sure they feel ok.

SheWhoBikes - make sure you lower the tension setting on the pedals! Mine came with the tension all the way up - I have a feeling it would be a lot harder to start that way...