I've found that not all needles are quite the same, some brands are simply a nicer shape and hurt less. They also come in different gauges/diameters, as well as the length. So it might be worth trying a different brand or size, if you have the option. I bought some 'sensitive' ones that were a finer gauge than I was being prescribed, thinking they might be smoother still, but when they hurt more than I was expecting and I looked at them under the magnifier, they were narrower in diameter, but had a shallow angle to the point - the less painful ones have a very long graduating tip - it slides through the skin much easier.
But the single thing that I've found to best eliminate pain when injecting is to take time and ensure that you have the needle at the right angle to enter the skin with the minimum of distortion. The more perpendicular the needle is to the skin, the easier it goes in. So I now take a few seconds assessing my angle and position before injecting - it's really worth the effort. When I get it right, I can't even feel it.
And don't re-use a needle if you don't get it right first time, the points are very fine and can curl over at the tip, reducing the sharpness of the point and they're also coated with a lubricant which is worn off as it goes through the skin. So don't go for a second attempt with the same needle.