For me, personally, what I've found is that stretching "cold" muscles causes them to be even more sore.
What Kinect game do you have KeysFoodie? I have Your Shape: Fitness evolved. I usually start with 5-10 minutes of the block smashing game, or the 5 minute boxing work out (I can't recall which section that is in; I think it's under "Games" but I'm not 100% positive on that).
Then do a good stretch before moving to the harder classes.
Also, because of my weight I can't do the lunges or the squats; it's way too much pressure on my knees and I've re-injured my one knee at least once by attempting them. When they come up as the next routine, I either stretch again, or just take a small breather because the routines only last for about 15-30 seconds or so.
Oh, and you're NEVER too big to start SOMETHING. Maybe that means not running a marathon right now, but that doesn't mean you can't START getting active.