Hi Becky.
I'd have to say 'no,' everything is NOT okay. Fish loss may be acceptable to some people during cycling, but it's not to me and as you sound upset, I'd guess it's not to you either.
You ask if you should check your tank levels? Does that imply you haven't? And if not, how can you moniter the progress of the cycle if you don't check at least once a day? Yes, check them. Make sure you have test kits for Ammonia, Nitrite, Nitrate and pH at least. Of these Ammonia is the most toxic, though the more things out-of-whack the more dangerous the situation becomes.
4 Damsels is too many fish, IMO! Do you have any LR? Did you "seed" the tank with any substrate from an established tank? If not, do so now. See if the LFS will take back 2 of the remaining fish and see about getting a small (5 lbs) piece of LR. Or ask them to give you a handful of substrate from one of their established tanks. Even a decoration from a mature tank can "seed" your system with 'beneficial bacteria' and speed up cycling. IMO it will also result in a more thorough cycling and stable system, so that when you add a new fish you don't have a huge 'cycle' all over again.
While the LFS may have meant well, they are no substitute for personal knowledge. Plan to do a lot of reading once you get this situation under control. Why was this person telling you how "fun" the fish would be instead of going over the important points of a new tank?
Only do a partial water change if Ammonia levels are critical. Better yet, return 2 of the fish! And add the LR/substrate etc.
STOP FEEDING if you have critical levels! Trust me, the fish will do much better going hungry for 3 or 4 days than they will swimming in a persistant toxic stew that they are contributing to!