Ivic,
Usually your first jab will be in the doctor's office. Your doctor will show you where to inject and you will see that it really doesn't hurt as much as you think. The part where you inject -- the inch and a half nearest your body isn't particularly sensitive. You'll find it easier than you think. Heck, even I could do it.
As to the rest of your questions:
Some men get an ache from the alprostadil in the mix and that can linger for a while. Most guys don't. I was sort of in the middle -- I got a bit of an ache but I learned not to mind it.
(Sage advice from Peter O'Toole)Trimix isn't like pills. It does what it does when it does it and it doesn't matter what sort of mood you are in or what you are doing. Sitting in a hot tub with a bevvy of hotties or doing your taxes: it does what it does and when it's over it's over. But with any luck it will last long enough.
Tips? Sure. Keep the needle away from the tip and it won't hurt as much...
Your doctor will probably start you off with 29 gauge 1/2 inch needles. Those don't give much of a pinch and the needles are fairly sturdy. Once you are comfortable injecting you can try a 30 gauge 5/16th needle. In theory the higher-gauge needles are easier to bend and some guys are sort of clumsy the first few times. But once you are more confident and your hands are steadier you might find a shorter, narrower needle more comfortable.
You might try visiting FrankTalk.org. They have a section on injections that sometimes goes into more detail than we do here.
Good Luck