Dancing is great exercise and tampons may be more convenient, especially since you are moving around and stretching your body. When inserted correctly, you should not be able to feel the tampon inside you, and you may feel more freedom with movement. If you have not tried tampons, remember to relax as much as you can and stand with one foot on the loo or bath. When your period flow is heaviest this helps lubricate the tampon on the way in which can help. Perhaps you could start on a heavy flow day and get more comfortable using tampons from there. Try using a slimline tampon or a tampon with an applicator. It needs to go in about finger length so you can't feel it.