Answer:
Speaking from personal experience, I think there should be pain. Alot of the people who cut themselves do it because it is a different type of pain. It either helps them cope, like a release, or do it because it feels worse then what they deal with. If you don't want to feel the pain, then I don't think cutting the right thing to do.
Your right cutting does hurt but the worst you will feel is just a sting..... there is no way to avoid it unless you numb it. Afterwards you may experience extreme discomfort.