If it's possible to get a nurse to do it for you (I know sometimes people are restricted by cost), I highly recommend it. I was having trouble giving myself needles and finally said to heck with it, I'm going to see the nurses at my Drs office. It's a 1.5 hour commute each way but such a relief.
If not, when I was still doing it myself, I just kept trying to tell myself it wasn't going to get any less scary, so I may as well do it now, lol. Plus I just try to imagine that rather than a needle actually entering my body, someone is just punching me and it's going to smart for a minute.