I work in dialysis where its common practice to inject a small amount of xylocaine just under the skin at the place where 15g. needles will subsequently be placed for treatment. The trade-off for not feeling the larger gauge needles is to have to experience the "sting" of the xylocaine. I find that using the index finger of my non-dominant hand to scratch an area (as though for an itch) of skin proximal to the injection site works like a charm as a pain reliever. And I don't know why...diversion, maybe? A spray of ethyl chloride can be helpful sometimes, too, though expensive.