I would imagine that it would depend on where and how the pain's affecting you.
TENS are for muscle and joint pain, correct? Or am I way off?
I used a unit previously, for my TMJ. I had the pads attached to my jaws on either side. It didn't seem to help me much, but TMJ is the least of my pain... my pain's actually the result of the nerves in my face going crazy.
I very occasionally get TMJ specific pain, so for me the TENS unit didn't help curb the neuralgia, only medication eases the severity of the pain enough to function/work for me.
My pain, other than being relieved by medications, is relieved by taking a hot bath (not recommended for most with MS - heat has a positive effect for reducing my pain, rather than flaring up my symptoms). Pressure changes/seasonal changes make my pain scale go wild at times, and I can always expect an increase in headaches.
I know TENS units CAN be quite beneficial, depending on the type of pain you're experiencing. I hope it works for you (and it's drug free, bonus!).