Rob -
I can give you my personal experience re this issue.  My first child's
pediatrician didn't believe in having the mom hold the baby during
immunizations.  He felt the baby would then associate the pain with mom.  He
would have the nurse hold her for the shots and then immediately hand her to
me.  After a couple of shots this way I insisted on holding her, and
comforting her during her immunizations.
With my subsequent three children I had their pediatrician give them their
immunizations while breastfeeding them.  He would give the complete exam first
and save shots for last.  I would let them get latched on while he was getting
prepared, and once they were nursing well they would get their shots.  Often
they wouldn't even let go, just nurse faster.  My pediatrician said he would
recommend this method to his residents.  I don't know if it actually reduces
pain, but it certainly reduces their stress reaction.
Cynthia D. Payne
LLL of Berkshire County Massachusetts