I was completely freaked out too when I saw the needle. Because my DH works split shifts I had to give myself the shot more times than not. I used a 18 1/2 gauge needle to draw up the PIO and then changed to a 22 1/2 gauge needle. I also iced the area for at least 10 minutes before I gave myself the shot. It really was not bad.
I would also suggest as others have to watch the utube video where a girl shows how to give yourself the shot. The first time I did it I almost puked because I was so nervous. After it was done I was shocked at how much easier it was than I had thought.
You can do it. If you can get someone else to do it for you that will be even easier. It works best to lay on the couch with your toes pointed in. That way you can't tighten your glutes and the shot will be much easier.