I don't think a helmet will help a ton unless you're hitting hard objects. When slamming head against water, you'll still get the concussed due to brain flopping around inside the scull (it's science, yo). It might take some of the edge off, but I wear a helmet mostly for the ear flaps, which give me ear protection and minimize wind noise to my headphones.
As for whether it's normal to get worked when learning new stuff -- yes, abosultely normal. Risk of injury goes up the more chances you take out there, but it's really hard to progress if you take no risks at. You'll have to find the ride balance for yourself, and it will likely change over time.
I think it was Vandal who said that one of the skills you must learn is how to fall. Like with anything else, you'll get better at it over time. Trampoline helps with air awareness, improving your chances to know when things are about to get rough. Also, reducing boat speed when trying new things, like Jarrod said, helps a ton.
Overall, though, this is what separates the best from the rest of us -- willingess to get worked, then getting up and trying it again until you get it. You can combine balls with smarts too, though, and not try things you're not ready for. Check out the Book and the progression tree for some ideas.
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