It sounds like you are making great progress, but I am really concerned about the very sore nipples. Latch has got to still be off, or it's something else, like thrush. Do they hurt all the time, more when nursing, what?
Milk sucking sponges???? Tampons? Is this some kind of method to soak up excess milk while the shield is still on? I suggest taking the sheild off, drying off (gently pat dry, do not rub) with a soft clean towel or cloth diaper and reaplying the shield. I hope you are putting the shield on correctly. Or, don't use the shield at all, if baby latches without it. Nipple shields are not usually useful for sore nipples & can make latch more painful.