Yes indeed, when first using insulin it is common to have some soreness/tenderness at the injection site. Try using different sites each time you inject, this stops the sites becoming painful and sore, you may also need to know that the insulin that you are presently using in your pen can be kept at room temperature, so this makes the insulin more comfortable when injecting, any insulin not being used should always be stored in the fridge.
You could also look at using a smaller needle, for example if you are using a 8mm needle, ask your gp/dsn for 5mm needles instead, these are much smaller and less painful to use.
Nigel