Uhh, I just got my prescription from Walgreens. They gave me the syringes that are already put together, and I use them to draw out the T and then to inject. I wouldn't know if it hurts more than not doing it that way. I do know that if you stab yourself once, fail, and try again with the same needle, it is significantly more painful the second time. But that was a stupid mistake and has nothing to do with the kind of syringe I'm using.
I haven't heard anything about an increased risk of infection, but then I haven't asked. That's just what they gave me at Walgreens. I've been going two and a half months and I'm fine. I even had a mishap about a month in where I "contaminated" my T by stabbing my leg and then putting the needle back into the vial... which, yes, was stupid. An embarrassing mistake. In any case, my doctor just said to watch and be sure the T didn't get cloudy. I haven't had any problems since then, with infection or otherwise.