The needle is very sharp, and also very small.
They choose a place where your pain receptors are relatively spread out. This makes the skin less sensitive to pain compared to, say, the tip of your fingers or your lips. You can measure your pain receptors on your arm if you like to get a sense of this.
Take a sharp pencil or pen and (carefully!) press it to the skin on the back of your forearm to the point of pain – without breaking the skin! Take another pencil and press it to your skin about ten centimetres away. You should feel both pencils. Move the second pencil a centimetre closer to the first and see if you can still feel it. At some point, it will feel like one dot of pain on your arm even though the pencils are a couple of centimetres apart.
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