When we say that some pleasures should be chosen and some avoided, what we are really saying is that the actions we take to pursue the intrinsic good of pleasure are sometimes more likely to produce the intrinsic bad of pain. And the reverse is true is well; choosing to endure for a time the intrinsic bad of pain can often lead to greater pleasure.
Well said, Joshua !! Expanding on your post, I'd say it's our learning to choose or reject "the actions we take to pursue" the desire for certain pleasurable feelings that lead to more pain than pleasure that is important.