You using the Cadillac/Trapeze or Reformer?

My biggest concern with people using the pilates machines is that people assume posture isn't important because using the machine puts you in proper posture automatically. And that's not true.

Make sure trainer watches that more than anything. Injuries and/or hyperextension can lead to easily. Avoid shoulders rolled forward, engage core, point toes and most importantly focus on breathing in through nose and out mouth. I would take a break for a day or two if you're so sore it's uncomfortable to walk. Take time to recover and avoid salty foods.