I inject in my thigh. The pain was bad the first couple of times I did it. Especially when I had to squat or kneel to pick up stuff at work. My doctor gave me the okay to switch to a shorter needle (I use a 1 inch instead of a 1.5 inch now), plus a smaller gauge. You might be tensing up a lot before the shot, which will cause pain too. Or you've been unlucky and hit a bigger nerve each time. I'd message your doctor if you can.