I don't have infertility but had six months of Clexane after a postpartum DVT and am now back on it when pregnant. I hate the thought of them but have pretty much perfected the routine by now and haven't had a single major bruise on this pregnancy (although the prophylactic dose is only half the size of the treatment dose I had with DVT so that factors in too).
My carefully honed routine:
Assemble equipment - Water Wipe. Ice cube, good light, injection, sharps box, iPod.
Clean skin with Water Wipe and then wrap ice cube in it and press on to skin for a minute or two while you do the rest.
Open packet, remove and discard needle cap, if you need to adjust your dose squeeze out the excess. Either way, make absolutely sure there is no droplet of Clexane at the tip of the needle - this will sting like hell if there is.
Drop ice cube and get a good big pinch of tummy - I find lower down and farthest out to the side tends to be the easiest sites, but you need to rotate. Take a good look at the skin you are pinching in good light - you are looking for the whitest patch, which is fat cells and least amount of nerves and blood vessels.
Rotate the needle so that the very top will enter first - make the bevel work for you. Now, in you go into the whitest patch on your pinch. I prefer to press the needle down and add force to punch the skin, but I know others prefer the dart technique.
Once in, pause for a second and squeeze the plunger steadily - if it stings badly, slow down or even pause. Concentrate on wiggling your toes while plunging, it distracts nicely. Keep holding the pinch throughout.
If you have the self-retracting needles, then it is easy as it pulls it out for you. If not, try to pull out at exactly the same angle as you entered. Discard safely in sharps bin.
Take the wipe you had wrapped the ice cube in and gently lay on your skin (wipe only, not the ice cube as it is too heavy). Do not touch or rub the skin.
Stick on a good power ballad on our iPad, sing along. Guaranteed to have stopped stinging and burning by the time you finish the song. And rest up for a few minutes before you put on any tight clothes.
All done, til tomorrow. It sounds a lot longer than it is, once you get the swing of it. Doing all this means I haven't had much pain and not a single major bruise this time round. If you find you are consistently bruising, maybe get a medical professional to observe you doing one injection in your normal way and see if they can offer any advice in your technique. Also sounds obvious but make sure you don't inject into a previously bruised area - a good strong light and careful selection of your site will help.
Best of luck.