I worked in pediatrics, and before sticking a child for an IV or blood draw, I would say "This is going to hurt.You can cry or scream if you want, but please do not move your arm. It will hurt less and I'll be finished faster, OK?"
That's my take, too. I tell people, "I'm sorry this is going to hurt, but I'll be as quick as I can, DON'T MOVE."
It was kinda awkward one night -- we'd had this one LOL on the floor for about a month, and I'd taken care of her quite a bit. Her nurse that night stomps up, and says, "she won't let me give her a lovenox shot, she says she wants you to do it because it doesn't hurt."
Of course lovenox hurts -- there's the needle, and then the burn. But what I did was distract her, get her laughing, and pop the shot. My coworker was sticking in the needle, and pushing it in slowly. Having given my own self lovenox, it hurts worse that way. I know we're told it doesn't hurt as bad if you push it slowly, but with lovenox, wasn't true for my belly, anyway. Quick was better.