Usually after I'm done cumming the first time, I'll go right into a second round, and sometimes a third, which is fun and all. Lately, my penis has been sore, not any particular part, but the shaft especially. This is somewhat embarassing, but I'm being serious. I don't use my hand, so I'm not blistering or something...I use a massager...but still, is it bad to go right into second and third rounds...or can you over-masturbate?
Lay off a little or you will wear it out. At 15, you need to get a little less orgasm-crazed. It is new for you, but you have perhaps 10,000 of them ahead of you, so leave a few for later on.
....and by all means try your hand- it's softer, warmer, and more easily controlled. Also easier to stop, believe it or not. Don't get hung up in external sex at 15. Like Cutted says there's nothing but joy in your future wanking, so try to keep it natural.
its not unhealthy for your penis to be sore after a good working, though long term effects of continually soring up your penis may cause it to become desensitized. sore once and a while is fine, just try not to push it, its not a race, nor an olympic sport