Sometimes it's just a duff needle, I've found that there's a few in every box that perhaps aren't lubricated very well and cause a lot of pain when used. Don't be afraid to just chuck the needle and start again with a fresh one. I've always found that the jab isn't the major pain, it's when injecting the insulin, this is obviously due to the preservatives in the insulin, Lantus has a bit of an evil reputation for this, which I can vouch for!!! Thankfully now on Levemir and not experienced it much since.