When I was on Humira I would ice the injection site prior to injection. I am on Simponi now, and it doesn't sting as much so I don't bother icing anymore.
When I first started injections, we have a family friend that is a nurse, so I would go over to her house where I could be comfortable and relax and have her supervise the injection.
I've never had any issues with needles so I also opted for the pre-filled syringe rather than the injection pen. I had practiced with one of the test pens, and even though I knew when I was pressing the button, the clicking would make me jump. I also like being able to control the speed of the medicine being injected.
I also like to joke when I have to talk to people about having to give myself injections. I raised sheep for a couple years and we would have to give them shots from time to time, so now when people are amazed that I am able to give myself injections, I reply with, "It's a lot easier giving myself a shot than giving one to a lamb!"