When starting a Pilates practice, or adding anything new into your fitness routine, it is normal to be sore after a workout. The soreness should improve as your body adjusts to the new exercises. Foam rolling, and stretching before or after a workout will help mitigate muscle soreness.
It's also important to make sure you are hydrated and drinking enough water as that will help your body recover more quickly.
However, if you find yourself still sore 3-5 days after a session please consult with your doctor.