My loading dose of 4 shots were all in the belly. I switched to the thighs for a while, after that started to hurt, folks here suggested switching back to the belly and moving a little to the sides, finding the flabbiest spots I could. That has made it a lot better. I let the pen warm up 15 minutes, I wait a little bit after wiping with the alcohol prep pad so the alcohol evaporates and doesn't get carried through the skin on the needle to reduce the burning. If I'm already sore, feeling sensitive, or worried about pain, I'll ice the spot first, too, and then I hardly feel a thing. I've only iced a couple of times, usually I just put up with the brief sting.
For my first time, I decided to do the very first one myself. My thinking was, if it really hurt, if it was bad, if I had already done it myself, I'd know I could do it, and then could do the others, but if I had someone give me the first one or two and it hurt a lot, it'd be much harder for me to give myself the rest. Yes, it hurt, but it was ok.
As an adult, I've not had much trouble with needles, although I certainly don't like them. However, I remember as a kid learning about diabetics giving themselves insulin injections and thinking about how I could never do something like that.