There are some studies comparing breastfeeding, breastmilk feeding, sucrose, skin to skin as pain relief  methods for newborns. A few resources from a review article I wrote (wish I was at home - I think I have a more thorough list):

Agarwal R. Breastfeeding or breast milk for procedural pain in neonates : RHL commentary (last revised: 1 June 2011). The WHO Reproductive Health Library; Geneva: World Health Organization.

American Academy of Pediatrics, & Fetus and Newborn Committee. (2006). Prevention and management of pain in the neonate: an update. Pediatrics, 118(5), 2231-2241. Reaffirmed May 2010.

Carbajal R, Veerapen S, Couderc S, Jugie M, & Ville Y. (2003). Analgesic effect of breast feeding in term neonates: randomised controlled trial. BMJ: British Medical Journal, 326(7379), 13.

Gabriel MÁM, de Mendoza BDRH, Figueroa LJ, Medina V, Fernández BI, Rodríguez MV, Huedo VE, & Malagón L M. (2013). Analgesia with breastfeeding in addition to skin-to-skin contact during heel prick. Archives of Disease in Childhood-Fetal and Neonatal Edition, 98(6), F499-F503.

Gray L, Miller LW, Philipp BL, & Blass EM. (2002). Breastfeeding is analgesic in healthy newborns. Pediatrics, 109(4), 590-593.

Shah PS, Herbozo C, Aliwalas LL, Shah VS. Breastfeeding or breast milk for procedural pain in neonates. Cochrane Database of Systematic Reviews 2012, Issue 12.

Uga E, Candriella M, Perino A, Alloni V, Angilella G, Trada M, Ziliotto AM, Rossi MB, Tozzini D, Tripaldi C, Vaglio M, Grossi L, Allen M, & Provera S. (2008). Heel lance in newborn during breastfeeding: an evaluation of analgesic effect of this procedure. Ital J Pediatr, 34(1), 3-7.

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