I got a prescription for EMLA cream, which is a topical anesthetic that is sometime used for pediatric IV sticks & cancer patients. I knew about because I'm a nurse.
For me, the PIO shots were really starting to hurt and I would get really nervous before hand, that's why I asked for the EMLA. The way I used it was to select a dime sized spot on my outer hip, clean it & circle in pen. Then I'd dap a thin layer of EMLA & cover it with a plastic baggy(in the hospital we would use plastic dressings with patients) After 45 min to an hour I tell my husband it's time. Draw up the shot, change needles, & let the whole syringe warm up for about a minute in my hands or under my arm. When my husband would give me the shot, most times I could not even tell he was doing it.
I know it sounds like a lot of trouble, but the routine gave me a lot of peace of mind knowing that the shot would not hurt at all. Let's face it, if men were faced with daily IM shots they would probably be on a morphine drip to handle it.
If you don't try the EMLA, the next best thing is to use a heating pad on low after the shot or take a nice hot shower.
Hope that helps,
