Used a .5mm derma roller and applied Aloe Vera Gel from The Face Shop and it stung - Did I do something wrong?

It is very important that anything you put on the skin after microneedling has been specifically tested and proven to be safe to use after this procedure. Micro-needling creates thousands of micro-channels in the skin which enhance penetration of topical serums and medications, dramatically increasing their effectiveness. Up to 80% of product can penetrate the skin compared to 7 to 10% with normal topical application. 
In my office, we use the ProCell Therapies system which combines motorized microneedling with concentrated human growth factor serums made from human stem cells. This serum is made specifically for this treatment. Our patients also use a growth factor serum at home after the office treatment.