Loaded grocery bags are often uncomfortable to carry. Avoid having those thin plastic handles cutting into your hand by threading a small object like a lighter or a thumb drive through the plastic bag's handles.
The image pretty much says everything about this tip from Redditor HittingSmoke. If you have a Swiss Army Knife, you may have also have a built-in tool for carrying bags — the metal parcel hook shown here, per Redittors grivp and tastycat.
Depending on the size of the object you use as your grocery bag handles, you may be able to carry more than one bag at a time more comfortably.