I asked if the HV minded if I did this during DD's second immunisations today and she clearly thought I was bonkers, saying it was 'wishful thinking' and that if she was having her dinner and someone stuck a needle in her, she'd still know about it... 
I have to say, I'm not sure it did make much difference, but DD doesn't really seem to comfort nurse much anyway sadly, despite being a 'sucky' baby. (she does suck her tongue though)
Has anyone else nursed through immunisations and did it make a difference or help comfort your baby more quickly after them?