The same way training in just about anything works. 1 example is calluses, at first they will bother you, but after time they become hardened. Pain in terms of tolerance is similar. Imagine you stubbed your toe everyday, or stepped on a pebble barefoot. At first it will hurt maybe a lot, the more you experience it your body will adapt and be bothered less by that same pain. That does not mean you will not feel pain, but if your tolerance is high specifically from pains you have experienced before then it will bother you less.
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