I found that for the thicker needles and more painful shots it decreased the pain to breathe into the needle with slight pressure on syringe, than to increase pressure on the syringe.

So for example, I would position the needle against my abdomen, then instead of pushing in I would wait until I inhaled. When I inhaled my abdomen would begin to protrude with air and at that same moment I would apply slight pressure into my abdomen. I found the needle went in with less work since my body was also pushing into it naturally, and for some reason pain was minimized.

I took hundreds of shots of Lovenox and didn't find it painful beyond the small needle prick. Burning was minor.

I found that I bruised less when I gave myself the shots in my lower abdomen. In my upper abdomen is where I would get the big purple bruises that lasted weeks.

I alternated quadrants of my abdomen, two fingers distance from my belly button. Ice pack before, inject medication slowly, remove slowly, apply cotton gauze with pressure for about 20 seconds after. That usually did the trick. Good luck OP.

EMLA Cream is a miracle....an absolute miracle!!!!

I hate these shots. I find them so painful and I bruise easily even without the blood thinner. I use a 5% Lidocaine topical numbing gel for an hour before injection, then ice for 5 minutes before injection, then ice for as long as possible after the injection (I do it before bed, so I go to sleep with the icepack). My spouse injects me while I am laying down with my eyes closed listening to a podcast and he goes real slow. The Lidocaine has made a huge difference, though it has let me get lazy about icing which results in bruises.

If you can get them, they make something called a shot blocker. It is basically a grippy tool that you hold on the skin while you are giving the injection. Your nerves "concentrate" on that so the injection does not hurt as much. That was the best thing I ever used.
5 pregnancies (with 2 losses) and on lovenox for each one the entire time (starting at 4 weeks or so) until 6 week post partum. LOTS of shots.

Shot blocker. https://www.ebay.com/itm/251235936048?chn=ps&norover=1&mkevt=1&mkrid=711-117182-37290-0&mkcid=2&itemid=251235936048&targetid=1262779895929&device=c&mktype=pla&googleloc=9033317&poi=&campaignid=10455978148&mkgroupid=122766957832&rlsatarget=pla-1262779895929&abcId=2146002&merchantid=8071084&gclid=CjwKCAjw4qCKBhAVEiwAkTYsPOZXq6Ufq-1Nu2Gq-2r0J7j3mdmJVb2qPrHY4S-6CwZAUWkN-AHwIxoCFxYQAvD_BwE

Many pharmacies that specialize in IVF drugs will have them.

My sister also liked the shot bee -- basically a vibrating tool -- for before and after the injection.