Your breast shield should fit snug against your breast and when turned on your nipple should pull into the center of the cylinder slightly. If your nipple rubs on the inside of the cylinder when centered your breast shield is too small. If your entire nipple and sometime part of the breast is being sucked into the cylinder the shield is too large.
Most retailers like Target and Babies R Us carry the different size shields.
You want to make sure you have the correct size shield so you can effectively pump all the milk - you don't want to leave any in there! And it can be painful and cause sores and blisters on the nipples if the incorrect size is worn.
If you try a different size and are still having troubles, try contacting your local Lactation Consultant and they can help you get fitted in the right size.
And remember - you nipple can change after you start pumping. So what might have fit at the hospital, many not be the right size 3 weeks later.