I know a lot of people who take Enbrel. Some of them have told me that they were just as bervous as you are about the needles. I'm told that you get used to it.
Some people do get a burning sensation when they do the injection, but I think that effect can be lessened, if you, a) leave the needle out for about 20-30 minutes before giving yourself the injection, and b) use a little ice around the injection spot to numb the area before you inject yourself.
I take remicade by infusion every 5-6 weeks, so I'm simply relating what I have heard from others.
Good luck to you, I hope the Enbrel helps you as much as the remicade helps me.