Congratulations! btw, that sting gets MUCH better. hang in there. An ice/heat pack will help, just DONT RUB!
Copaxone is a sharp crystal style med, and rubbing it will fracture the crystals. You can place LIGHT pressure on top of it for a min while the sting passes, but NO RUBBING! Hold pressure for about 15 seconds.
Copaxone seems to be a very popular choice. Welcome to a new copaxone cutie!