I've used one on my legs and it hurt a lot, especially on the upper leg where it seems more sensitive, (although a friend suggested that maybe I try to use some of that freezing cream they use with laser, etc). I haven't tried it yet. However, I find that my hair is pretty fine with the HRT now, so I wonder if it would hurt less.
Long ago I tried one of those on my face, too, and it really hurt. Then I took nine hours to pluck my face hair by hair, it drove me insane and I only got part if it done... I then just went to laser.
But, yeah, apparently with each use your hair will get finer and finer. Also, combined with HRT it will probably happen faster.
Good luck,
--natalie