No, really, go out and hurt yourself. But don't kill yourself. There's a lot of fun things to do that will cause your body to hate you later, like working out for 2 hours. The advantage this gives you is you'll be able to feel the pain more immediately, and when you're out to write your book, it will be much more personal.
But here's an important thing -- don't hurt yourself for the sake of the book. It's much better to hurt yourself for the sake of hurting yourself, if the process of doing so is fun. If you play basketball, you wont feel your body hating you while you play, but later on it will hurt -- but you were having too much fun to notice. If your objective is external to you, like writing a book, you might not learn as much as when your objective is internal, like enjoying the activity while you're in the moment.
As a general rule, I point out the evidence of pain instead of the pain itself. If you have a broken arm, it's better to say "the bone is sticking out from the elbow" rather than "the pain of the bone sticking out of the elbow is really bad." If it's freezing, it's better to say that your fingernails are getting blue and your breath is fogging in your face, rather than saying it's really freezing. What Lauren said about the sinuses is really good, too. Those evidences are what you should be looking for when you're describing something.
Of course, the goal should be to describe the sensation in as few words as possible (at least, for me personally). No need to write your nails are blue, your breath is fogging, your sinuses are clogging, and it's freezing outside. That's overkill. You just need to write the bare minimum so you can spend more time on your story.
The writing style also really helps this out. If your writing style sounds formal like Harry Potter, it will be much harder to describe pain than, say, something like this: "It didn't matter if Jack was the defending MMA champion or a newbie recruit. When she shot that needle into his arm, he fucking felt it."
Although swearing may not be to your best advantage when writing a book. But I'm just putting it out there.
You might notice the same difficulty when writing a fast-paced fight scene. If you're already good at writing fight scenes, you should be good at writing about physical pain. Just ask yourself the question, what can I say about this pain that will make the reader squeamish?