This is very common as most of us have never exercised vaginal muscles before. Do not be discouraged! All great achievements begin from taking the first step. Once you start practicing you can progress pretty quickly.
If you find that you have trouble holding the egg in as you walk around, then just start with sitting while it is inside you a few times a week for 10 or 15 minutes (or whatever amount of time you have). Focus on squeezing the egg and see if you can feel it. If you do not feel any physical movement, you can focus on the pelvic area and imagine squeezing it. This will start engaging the part of your brain responsible for controlling these muscles. Be patient with yourself. You may just be attuning to these muscles for the first time in your life, and it might take some time and practice. It may also be that your pelvic floor is revealing weakness or tightness on physical, energetic, and emotional levels. The yoni egg practices can help you!
We recommend that you consult a pelvic specialist or yoni egg instructor to guide you through which exercises can address your specific situation.