I've been on Copaxone for a few weeks now, my husband usually gives me my shot, which usually cuts down on the burning / aching afterwards. I was afraid to do the auto inject, but my husband had to go out of town for work so I was forced to do it! lol! And it wasn't as bad as I was expecting, so I've done it myself quite a few times and really I haven't had any different post injection reactions. I hope it continues to go well for you!
I've suffered from Chronic Migraines for almost 10 years now and for the past 2 years we had just gotten them down to 1-2 migraines every 2 weeks (which is very good for me, it was 3-4 a week) using Topomax. I'm not sure if you've ever had a problem with migraines but if you have, just a friendly warning it may increase them. I've had 7 migraines since I started the Copaxone a little over 2 weeks ago, and they have been TERRIBLE migraines that nothing seemed to help. A friend of mine who is a nurse and works with MS patients a lot said the patients who are on Copaxone frequently complain about increased migraines and said to take the migraine RX prescribed by your doctor, an 800mb ibuprofen or Aleve, and a phenergen / zofran.
Anyhow, I'm sorry to get so far off topic, I just thought I would share my experience with Copaxone so far. I hope it works well for you!