Hi Whit, my son started MTX shot recently, four weeks ago to be exact. He was confident up until the day of the shot came then he got fairly nervous. I told him we could have the GP nurse dot but he insisted on doing it himself. He's 17 and I was worried if the shot was unpleasant then I may have a hard time getting him to remain compliant.
He reclined back drew up the shot and just did. Fortunately it didn't hurt at all. It is a very fine needle and he said he could barely feel the injection. So it hasn't been an issue on shot day at all to get him to inject.
If you are worried enough about the first time you could have the nurse inject the first one. My son said the fear of injecting himself was worse than the actual shot and once he did it that first time the fear completely dissipated.
Good luck.