I apply EMLA cream or a 4% lidocaine OTC cream (Aspercreme, CVS pain relief cream, etc) to just the area to be worked on and cover it with a piece of plastic wrap (occlusive bandage) an hour before treatment.
I will take a dose of naproxen (OTC pain reliever) shortly before starting. I do have a prescription for Norco, and did sometimes use a part of a tablet sublingually before starting on a sensitive area. Sublingual administration produces a stronger effect than swallowing it, and will last 60-80 minutes.
The single biggest help was mindful meditation. I got my electrologist to play instrumental music that was relatively calm, rather than some of the harsher experimental jazz with vocals that she had been enjoying, and which constantly threw me out of 'the zone'. With the meditation I could enter a flow state where I could let go of the 'zaps', rather than hanging onto and anticipating the next burst of pain.
We tent to focus on the pain, and can accidentally find ourselves concentrating on it, which intensifies it. With meditation and calmness, we can release the pain, stop anticipating the next burst, and simply be in the moment, knowing that each sensation brings us closer to our goal of being free of these hairs.
It is not easy to reach this state, but it is a very powerful tool. It gets me through two 2 hour sessions most Mondays, for example. On occasion I haven't been able to reach this state, and the session was very rough indeed. Getting the music changed helped enormously. Silly, but true.