Following is how I have my DH give me PIO (Progesterone in Oil) IM injections and some other suggestions from ladies on the ParentsPlace IVF board:

• Withdraw PIO into syringe with the 18 gauge needle. 
• Warm PIO in syringe by blowing on it, holding it in your hand or running it under hot running water for a while.  This will make it easier for your DH to inject the PIO.  The warmer the PIO, the thinner it gets, therefore easier to inject. (the hot running water is the easiest and best way to warm it up quickly)
• Switch needle to 22 gauge.
• Swab area w/alcohol and let dry.
• Have DH pull skin taught and hold it that way until injection complete.
• Make sure DH darts the needle in quickly, the slower the needle is inserted, the more you will feel the needle. Try not to hit a previous injection site, otherwise, that spot will just get sorer.
• Make sure that your DH draws up the needle to check for blood, prior to injecting. If you get a bit of blood, pull the needle out and try a new spot.
• Once the injection is complete, have DH give the spot a kiss and massage the area for a few minutes.
• Some women lay down; I stand with weight off the injection side and that side foot slightly turned in.
• Some ice area prior to injection (which I wouldn't recommend as the cold would have a tendancy to keep the PIO all in one spot), but I never have and haven’t had a problem as yet.
• Some women put a heating pad on the area. I would highly recommend this if you ice the area. I would think the ice would cause the PIO to stay in one area since the cold makes the PIO thicker.
• Also, make sure you walk around for a while after the injection.  By walking around, the PIO will get spread out quicker, thus being less painful the next day.
• There is also a cream called Elma that is supposed to numb the area, but I've never used it before...