Loading dose is usually 4 injections at once followed up with 2 injections at once 2 weeks later.
After that it is usually 1 injection every two weeks, some people do it weekly, depending on their GI's advice and their condition.
I personally use the syringe, used to use the auto-injector pen but the irritating click noise and the lack of control over the speed of injection made me stop using those.
I inject in my thigh, I try to rotate so I am not always doing the same leg. I tried in my abdomen a couple times but couldn't stand the pain, and I also got my only injection site reactions when I did them on my abdomen...
I let mine warm up out of the fridge for a good half hour before injecting, makes it sting a little less, but it still can burn pretty good going in. It's a tiny needle and a small dose, so it is usually over quickly!
I almost always get a headache and am really tired after taking it, so I try to take it shortly before I go to bed so I don't feel crappy for too long.
www.myhumira.com is a great website, resources and FAQ's, etc. Worth your time to check out.