I finally took the plunge - literally - earlier and injected B12 myself for the first time. I was quite nervous but having had some great advice here, and watching a tutorial on YouTube, I went for it.
I honestly didn't feel a thing when I inserted the needle (outer thigh) and genuinely thought it must have somehow pushed itself back into the syringe. A tiny bit of pressure as I pushed the plunger down and that was it.
So if you're considering SI, it really isn't anything to be scared of.