You might try Lidocaine (pain reliever cream) that you can get in the drug store. Sometimes I would mix the Lidocaine with Benadryl cream. It stopped the pain.

Keri, have you tried a warmed up shot but icing the area before you give yourself the shot? Maybe that would work? I found when I used ice before instead of heat it hurt WAY LESS, sometimes not at all. But I had to stop using the ice because it would leave really weird welts -- it was strange, looked like the medicine didn't spread under my skin or dissolve as much. But it may be different with you. So I went back to the heating before hand and sometimes afterward (instead of ice). The Lidocaine cream helped with the sting a lot. Yeah, those copaxone shots are a pain in the you know what!! :(