insulin..

I have to start taking insulin because blood sugars are out of control and won't go down. So my doctor is setting me up with insulin and I'm scared shitless. I've been so upset I'm not feeling like myself. I wish there was something I can do but eating right and exercise isn't helping as much as they and I want so I must start insulin. I'm afraid that one the needle will hurt and two the risks for my baby... did anyone else have these issues? All I want it my baby to be healthy and strong but the risks the doctors are telling me are freaking me out....