Yes, you have done it correctly.
Our skin is our main protective organ and feeling pain is our body's protective reaction, otherwise we would seriously injure ourselves without even noticing it.
If you soften the skin prior to dermarolling (by having a hot bath, steaming your face or using some keratolytics such as salicylic acid) it should be a bit less painful.
Occasional pinpoint bleeding is completely normal but we have customers who get no pinpoint bleeding on the face with a 2 mm dermaroller and also those who get quite some pinpoint bleeding with a 0.5 mm on their face.
Both it is OK. It depends on the thickness of your skin, on the density and depth of vascularisation etc.
Doing very deep dermarollings (3 mm) with lots of blood should be done only in a clinical setting. There is no evidence that those very deep dermarollings are more effective than deep dermarollings (such as 1.5 mm).
You can go deeper locally with the single needle on individual deep scars.
In order to induce collagen, you have to reach the dermis. In most people, a 0.5 mm dermaroller already reaches the top of the dermis (it depends where you roll because the thickness of the skin varies in different skin areas and skin thickness in general varies in people).
Oh, now I noticed you did not write -very deep rolls- but -heavy rolls-. I am not sure what exactly it means. Deep or dense or both? Honestly, nobody knows what dermarolling regimen is absolutely optimal for various skin conditions. It doesn't mean that doing a less optimal regimen will not bring results. It will just take a little longer.
When you know how your skin reacts to dermarolling, you can roll more densely.
There are people with very sensitive skin that cannot handle dense dermarolling etc. That is why my instructions are always on the conservative side, and our customers can adjust for their skin type and needs and even experiment a little.