resistance bands: getting started

Hi there! I got resistance bands for my birthday. I got two Strips of theraband in two different strength categories (red and Green). So today I tried them for the first time. I tied them to a loop and added them on to a Pilates workout and I can still feel the burn in my glutes and thighs šŸ˜… I wasn't sure though if I actually used the bands correctly. It was a bit overwhelming and I found it hard to focus on form. How did you start working out with resistance bands? Also I was wondering if I was wrapping them around the right body parts. Is it better to have the loop around the thighs or around the calves or does it depend on the exercise? The loop was often sliding up or down and ended up being around my knees. Is it harmful to have the band around the knees or around other joints? Am eager to hear about your experiences and maybe get some tips for beginners.