We used the pen. It is painful - really burns. We used ice, did the shot while watching TV and gave them treats after (chocolate, cookies). We never tried adding Lidocaine, but I have heard it helps.
We iced before and after and both my girls said that helped. They did get used to the shot and understood that they needed it, but hated it. It was much more convenient than Remicade (but both did prefer Remicade).
My older daughter recently switched from the pen to the syringe and says the syringe is less painful because you can control the rate of the shot. She wishes she had switched long ago.
Good luck with whatever you choose!!