{{{{{{{Candy}}}}} my H has to take insulin injections every evening. He used to have the same problem as you, but he spoke to the pharmacist and his doctor, and they now prescribe him thinner needles so they don't hurt as bad - he says he hardly feels them anymore.
The only time it hurts is if he uses the same area too many times. Check into it and see if it's a possibility for you. He gets his at Walgreens.
Mary Alice