I don't really get much pain, sorry. I used to run my prop injections under a hot tap but don't bother anymore as these days, I get swelling, but no pain.
Injecting into the delts and/or lats has never been a problem either. I had an MRI of my shoulder and although I'm not a big guy, the amount of muscle around that joint is deep...
Actually, I tell a lie. I have recently started injecting in to my pecs and that was sore in the beginning but now, 3 weeks on, even that pain is diminishing every time I stick 'em. I guess the body just becomes desensitized after awhile.
I never inject into glutes though as that seems to cause muscular inhibition, resulting in back pain as the glutes 'switch off' and the hamstrings and especially the lower back musculature takes over.