Trick: Use Vicks VapoRub on the shot site soon after the shot is given to relieve and help prevent soreness at the shot site.
Source: A co-worker who prefers anonymity
Results: I first used this the day after my daughter's 4-month immunization shots because her legs were sore from the shots. Within 30 minutes of applying the Baby Vicks VapoRub to her legs, she no longer screamed and pulled away when I touched her thighs. I used the Baby Vicks VapoRub within 2 hours after her 6-month immunization shots and her legs did not seem to get sore at all. Since then I've used the VapoRub every time she's received shots.
Note: The Baby Vicks VapoRub was the type I had on hand. There was some speculation as to whether or not it would work. It seemed to work fine for me, though the original instructions were to use regular Vicks VapoRub.