The soreness might be attributable to the hairs being drawn in a different direction than they are accustomed to.
To protect your delicate hair, it's best to vary hairstyles, including buns, so they are not pinned in the same spot on the back of your head. Depending on how handy you are with your tresses, you might want to do a low Chinese braided bun one day, Heidi braids the next day, a center French braid the day after, a lace french braid the next day..and so forth.
Also, given the thickness of your hair, I think sectioning it when bunning would distribute the weight better and the bun would be more comfortable to wear.
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