It's possible you might need to do something different. But you owe it to yourself and your boyfriend to give your current ring a go first. Not only to be sure but because not wearing it will hurt your boyfriends feelings which isn't a good way to start your engagement.
Now, I can see not wearing it when doing physical activity. But you should wear it all other times - shopping, meeting friends, going out, etc. It's possible with wear you will find yourself more comfortable and less anxious about the size and all that. Getting a few compliments from strangers and friends/family also helps too.

Now if you wear it almost constantly for a few weeks and still find it's too large for you, then talk to your boyfriend and tell him you'd be more comfortable going with a smaller stone in a lower set mount. He'll know since you've been wearing the ring constantly that you have in fact given it a proper try.