When I first stated injecting I used a 30 gauge x 1/2" needle and there was some amount of pain but not bad. I switched to a 31 gauge x 5/16" needle and man...what a difference! Literally zero pain! I have approx. 1,400 injections under my belt during the last 9 years and the 31 gauge insulin syringe is the way to go. I've never had a misfire and at worst some slight bruising. I've also memorized a "roadmap" of veins that I need to avoid so any bleeding or bruising is very rare.
Just keep plugging away and you'll get it figured out.