Sometimes it hurts, sometimes its just a little sting. Its an odd feeling passing through the subcutaneous tissue, then I can feel it enter the muscle. Sometimes it let's out a little droplet of blood upon withdrawal but there are times when there is no blood. I try to relax the quad muscle before hand, I've found there is less sting then.
I have found its easier than I thought it would be, injecting myself, but I almost want to vomit every time I feel it enter the muscle...