Obviously the game is to maximise the one and minimise the other. But given the future can only be guessed, we can't usually know the true risk-reward return and so we have to model some notion of our tolerance for risk vs reward.

If you are rich, that might make you risk adverse. Or if you are acquisitive, then even being rich, that might make you risk embracing.

So pain and pleasure seem a simple and direct dichotomisation of biological value. But from that simple basis, a complex world of Bayesian reasoning can arise. One could quite reasonably be young and foolish, or old and cautious. Our answer to the OP can be both founded on the same evaluative principles and yet also reflect the great variety in our individuated state of being.

And that is just nature at work, doing its thing.

Is it worth experiencing pleasure if it means you will also experience pain, or is it better to minimise pain first and foremost, and then enjoy pleasure as it comes?

The economic answer is: have the pleasure first, the future is always discounted.

Emotions come in pairs, so even in pain, pleasure is possible. Pleasure and pain are emotional measures, which help direct our normal conduct. We tend toward the more pleasurable and less painful, but the body tends toward homeostasis, which means that extreme pleasure/pain offset each other over time.

The opponent-process theory is a model that views two components as being pairs that are opposite to each other, such that if one component is experienced, the other component will be repressed. Therefore, an increase in pain should bring about a decrease in pleasure, and a decrease in pain should bring about an increase in pleasure or pain relief. This simple model serves the purpose of explaining the evolutionarily significant role of homeostasis in this relationship. This is evident since both seeking pleasure and avoiding pain are important for survival.

Wikipedia

In a world where humans have become so effete and fragile able to protect themselves from every possible inconvenience, it's worth remembering it isn't possible to safeguard against suffering and loss, it isn't possible to prevent suffering. Who said it was possible to avoid pain? They're quite wrong. If nothing else, an occasional trauma comes along to take a bite out of your life and what you thought you had under control.

I'm not sure if I choose pleasure or pain. Those who talk about being more positive, I've noticed are often quick to anger as though they don't trust their own impulse control disorder. Pleasure and pain are emotions, which are hard to cultivate purposively. Some must have everything tidy and when something happens that ruins their orderliness, they are quick to anger. We live in a time where there is so much convenience. When people must have all the conveniences, they tend to become brittle psychologically. Not only this, but when they have things in order and convenient, they will speak of you as being gloomy, though you may be thinking to yourself how irascible such people tend to be when things don't go their way. So, you don't choose pleasure and pain I wouldn't think. There are simple pleasures easily arranged, but when one starts thinking about whether there will be pleasure in the future or pain, it's mostly magical thinking. The future may have different plans for you. Minimizing pain is a fine notion, but the future may not obey you.

The paradox of hedonism leads me to believe it is better to simply focus on minimizing pain, avoiding harm, and satisfying basic needs and enjoy the pleasurable experiences as they come. Usually what ends up happening is that we are coping with existence more than we are enjoying it. Well actually we're always coping with existence, but enjoyment is when we're cool with it.

Is it worth experiencing pleasure if it means you will also experience pain, or is it better to minimise pain first and foremost, and then enjoy pleasure as it comes? — Kenshin

It could also be the other way around, that maximising pleasure would require experiencing pain first; an athlete would endure physical pain in order to win a medal, for instance. It is both about a calculable attempt to ascertain the likely probabilities of the decisions that you make before taking the risk and this risk usually involves an intuitive force, a type of faith in this decision. The result could maximise your pleasure for much longer, even if it involves loss or pain as part of that decision.

Maximising pleasurable experiences as they come is limited in that it lacks the adequate reasoning necessary to ascertain the probability of future events and the risks involved in order to ensure the longevity of happiness, the latter being a pleasurable experience. Hedonism requires a continuum of fleeting pleasurable experiences that is impossible and thus self-deception becomes necessary to avoid consciousness of the lack thereof, basically delusions are what make people 'happy'. The outcome of these probabilities dependent on the actions of the present and the decisions that are made and sometimes it would mean the involvement of unpleasurable experiences.