J.B.
I did my shots myself during my IVF pregnancy. My husband did them for 10 days during the first failed round and I expected him to do them during the second (successful) round but he was out that first night so I figured out how to inject my own hip and it was a lot less painful. I remember the nurse teaching him to gently squeeze the skin with one hand while popping the shot in with the other. When I did them myself, I had to stretch the skin a bit instead and that was less painful. Icing after helps, and make sure the oil is body temperature before you draw the injection. Very few of my dozens of injections bled but it did happen every now and again.
Good luck...this part sucks but it will pass soon.