you've gotten some great advice.
i use the AJ and my thighs can be painful too. i feel it's easier to sit down. that way you can reach your legs easily and pinch up the flesh.

one thing that helped me was to experiment with the depth setting of the AJ.
if you have a lot of fat you may to go a bit deeper to get into the fat layer. and if you're skinnier you may need to back off. finding the right setting can make a big difference.

also, to trick you mind try putting on some music or burn a scented candle with your shots. it may be more relaxing. and get out of the bathroom (associated with fear) and sit in a comfortable chair. lay out all your supplies and go for it.

i hope your shooting improves.