I've been on Copaxone almost 2 months. For the first several weeks the only reaction I had was moderately painful stinging and aching after the shot, lasting about half an hour, plus some tenderness at the site. Now that part is only 5 or 10 minutes. In the meantime, though, other reactions have REALLY set in.
The thigh area is the worst, but all injections give me big red spots, lumps, welts, and sometimes bruises, lasting nearly a week. This is all ugly, but manageable.