Woohoo - congrats!
I have mine administered by a senior nurse at my GP's practice, and she has 22 patients who get this shot on a regular basis.
Of those 22, only one has it administered in his thigh. The rest of us have it in the gluteal muscle. She says that those who've tried the thigh find it more painful (because you flex & relax your thigh a lot when you walk) but the one guy who takes it in the thigh has personal reasons for doing so. In my experience, the easiest way to receive your shot is to lie face-down on the bed and relax completely whilst it is administered. Make sure you swap sides for each injection (i.e. if it's in the right cheek this time, have it in the left cheek next time).
As for pain, the needle itself isn't really that painful (maybe 1/10), but a lot of patients (including myself) report that soon after administration, the injection site feels like you've been stung by a bee (an immediate 4 or 5/10). For me, this lasts for the entire day of the injection, but it's pretty much gone by the following morning. Like a bee sting, the pain comes and goes in waves; sometimes I don't feel anything, sometimes it gets pretty darn 'ow' (yes, it's gone to a solid 8 or 9 for very, very brief periods - just like a bee sting does). But it only lasts for one day and I'm fine by the following morning.
Then for about a week afterwards, the injection site feels somewhat bruised. It doesn't hurt unless you bump it, so just be cautious and you'll be fine.
After that, it just carries on doing the job you want it to do. No pain... lots of gain.
As Joe said, you should warm the vial before it's injected. The best way to do this is to hold it against your person for about an hour before your appointment. You could do this in a pocket or something... but to be perfectly honest, I stick it down the centre of my chest because it's one of my ways of getting good use out of what's there.
Oh, and try to get your GP to prescribe you more than one vial at a time, so that you can take
two to each appointment (but only warm one of them up). This is because the nurse needs to aspirate the needle to make sure she hasn't hit a vein, and if she has hit a vein she must abandon the injection. That's when it'd be handy to whip out a second vial, otherwise you'd have to wait for another prescription and appointment to try again.
One more thing: make sure you sit in Reception for about 5 minutes after the shot has been administered. This is because there's a (very small) risk of oil embolism, which would give you immediate but treatable breathing problems, so you need to stay put until the risk has passed. If it's going to happen at all, it'll either happen whilst the shot is being administered or immediately afterwards, so waiting for 5 minutes will help you make sure you're safe.
