Whether or not you get the sore arm depends on:
1. the skill of the person administering the shot, and
2. if you tensed your arm muscle up or not
You can control #2 -- keep your arm muscle LOSE. Look at your arm (if you're not freaked out by needles) so you don't tense when the needle pokes you.
As for #1, all you can do is to go to a competent practicioner, and hope for the best

A nurse once told me that it's best when they ease the needle in rather than jabbing (I'd assume because jabbing would cause you to tense up more), and once I had a nurse hit my arm bone when she jammed the needle in there

so you could ask that they administer the shot a little slowly.