Are you making sure the medicine is warm before injecting? Injecting it cold and not room temperature will cause pain. I did that once. My brother who trained plenty of MS patients how to inject their meds trained me. He forgot to mention to me the room temperature thing. I guess it was some sort of sibling torture kind of thing.

He actually felt bad when I mentioned it too him though.
Are you doing it subcutaneously? It just needs to go under the skin. Are you manually injecting or are you using the autoinjector? I found that manually injecting worked far better for me. Make sure you are not hitting a blood vessel as that can cause reactions as well. In the beginning, anytime I had a major skin reaction and pain in my legs, I was hitting a vein.
Like Wiz, I stopped injecting in my thighs. I just did not have enough fat there. While I have a little more fat in my arms, I injected at a 45 degree angle. My abdomen, well, I have more fat there and it was much easier to inject in my abdomen. Because of tremors, I eventually just stuck with my abdomen and the fatty parts of my hips/back.
Over time, I developed symptoms similar to Barb. I went off Copaxone and have not been on a CRAB or DMD for that matter since then. We think I am allergic to the amino acids and none of the CRABs would work for me.
I hope with the new meds and changes in meds the reactions become less for you. Let us know how you are doing.