its come up a few times but in my experience, the best way to minimize pain is as follows:
1- MOST IMPORTANT make sure you inject deep enough, speaking from experience, if you dont get the oil in far enough, it will take MUCH longer to dissipate and be much more painful
2- heat the oil in the syringe, personally i always used a blow dryer
3- massage the area, not for like a minute, but rub HARD for like 10-15 minutes
4- heat the area, after you inject take a hot shower, or even use a hotpack/warm washcloth
5- inject before the gym, then work that muscle group.... same as the heat principle, the idea is to get blood flowing to that area which will help absorb the oil
6- baking as Mkefear mentioned... I have never had to do that but i have heard putting it in the oven for 10 minutes or so at 200degrees can be helpful