Ya you could try warming it up... It might just be your way of reacting to it.  Everyone is different.  I'm on a cycle of Test Prop and Tren Ace (didn't start the Tren yet) and I heard a lot of stuff leading up to the start that Prop was painful and it was a pain in the ass to do EOD injections.  I'm not taking anything away from anyone, cause I could feel the stuff, but it wasn't anything like some folks made it out to be.  My shoulders ( i guess they're used to injections?) are painless, period.  My ventro sights are alittle sensitive the next day but not noticeable unless i'm concentrating on it.  Like I said everyone is different, you'll probably get used to it and won't even know ur injecting afterwards.  
I've used Test E before and it left a lump and hurt a little but went away as the cycle went on.  Good luck and happy training...