Using BD Prop myself right now. Yes, baking it makes it painless, and yes, it still works great.
Bake at 175 degrees F for 20 minutes. Let cool 30 minutes. Repeat cycle two more times.
Note: Be sure to put a pin (not the whole syringe) through the top of the vial and just barely penetrate the rubber stopper...don't let the pin touch the liquid. The goal is to just let the benzyl alcohol evaporate a bit and vent out through the pin.
On a side note, however, I don't know that I would take it in the delts. Quads and glutes in my opinion work best for oil based injections. Maybe that's just me, though. I don't like to use the larger pins anywhere except quads and glutes (and I have a slight preference for the glutes).