As a Pediatric ER Nurse and a Pain Resource Nurse I would encourage you to check the literature. There is substantial research which indicates that pain control for needle sticks (even for IMs) can have a positive effect on the overall outcome for the patient. Conversely, failing to treat pain can affect the patient's physiologic response (not just psychological) to that procedure AND future procedures.
We use Jtips (needleless delivery of buffered lidocaine), cold spray for injections and IV starts and EMLA for LPs and port access.
Incidentally, for those of you who are having little success or patient discomfort with cold spray, you may consider the "snowball" method. Saturate a cotton ball with the cold spray and hold it in place with pressure for 15 seconds immediately before needle stick.