1) toss the needle that comes in the kit. Get 1 inch needles, they are shorter and a smaller gauge and they work just fine. Your avonex supplier might even give you the needles if you request them.
2) take a hot shower to relax the injection site. You will be less stable walking, but the needle will slide in and out like butter.
3) rub the injection site down with your knuckles, like you're rubbing out a cramp. Do this for a few minutes to warm up the muscle, makes the shot work better.
4) take lots of vitamin c. I can't vouch for the exact way it works, but I do have a post in the vitamins board. But when we are on C, there are less chills, and it's easier to get up in the morning.
5) Getting up early seems to be better than getting up later and getting a provigil first thing in the AM helps too. You gotta walk it off.
6) Tylanol before bed, tylanol when you wake up in the middle of the night and tylonol when you wake up.