You know, you feel a little pinch. That's it. It's in the mind. You hurt yourself, objectively, much worse while playing and you LOVE it. You never even give it a thought. With shots, you know they're coming, and you know something is getting stuck into you for a few moments. Just talk with the person giving the shot. Ask how long he/she has been a doctor/nurse/physician's assistant. That kind of thing. You can only hope to live long enough to get dozens and dozens of shots before you sign off.
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Its just like your ordanary shots from the docter, its nothing to be afraid of.
good luck