My insulin shots are starting to hurt more and more... I have to scream...

...now...!? Help? I usually use the pen in my arm, but when I take the Lantus at night, I have to use a syringe. The doctors said that I have to take it in my thighs because I don't have enough fat in my arms. It didn't bother me at first. I do all the steps I'm supposed to (cleaning, pinching up fat, pulling out fast), but now it's gotten so bad that I basically have to scream and cry when I do it. Sometimes I squeeze a stress ball, but that doesn't help much. I just can't have the shot in the leg. I don't want to scream, and I know I have to take it, but I can't stand it!!! Help?!?!?!

Thank you!

(P.S. I was just diagnosed three weeks ago as a type 1 diabetic and I spent three days in the hospital.)
I am getting an insulin pump (not for a few months though). If I do, I still have to take the lantus at night. Soooo.... that still hurts. :(