The tl;dr is that things have been going surprisingly well. I've been doing an average of an hour per week (beard removal) for about 4 months and I'm past the half-way mark.
The secret is to shop around. I don't mean simply consult with different practitioners, I mean actually get one or more hair removal sessions from each provider in your area.
What I found was that there was a significant variance in speed, price, level of pain, healing time, and regrowth depending on which practitioner I went to. For example, the woman that I'm going to now is about twice as fast as the one that I started out with, and is less expensive as well.
I'm using both laser and electrolysis: my hairs are 2/3 gray, 1/3 brown. I did the laser first, which only affects the brown hairs, then work on the gray hairs with electrolysis.
I've had much more satisfactory results with the blend technique than with thermolysis.
For pain management I do the following: A half hour before each session I put LMX anesthetic cream onto a tegaderm thin plastic film bandage, and apply it to the area of my face that I want her to work on next. This doesn't make the pain go away, but does reduces it slightly.
One thing that I noticed is that some practitioners have a hard time 'staying within the lines', that is they often stray outside of the areas that I have put the anesthetic cream on. Apparently when you are looking at someone's face at the level of individual hair follicles, it's easy to lose track of where you are. The place that I go to now peels off the tegaderm a bit at a time, wiping away the cream only on the area that she's working on next.
The other thing I do for pain management is plug in headphones and listen to my playlists on my phone - I find that given the right music, I can sometimes 'tune out' the pain and my mind drifts to other worlds...