I understand the feeling. We don't want to let anyone down. Let me encourage you, though, by saying that it is a normal part of the application process for a school to make an offer and then have it declined. In all likelihood there are no hard feeling from the program you turned down. They understand that you may have really liked their school but found a position that fit you better somewhere else. In fact, they were probably quite pleased to have your decision this early. By letting them know that you will decline their offer ASAP, it gives them a better chance to land a top student. It sounds like you did everything right to me.
If you feel confident that you made the right decision, then feel good about it--very, very good about it. Congrats on the admittances!