I've done it several times in the past: once with my FW, once with my D1, and most recently with my LA. Luckily, I never hit bone and never got blood on my fabrics. It was definitely painful, but the thing I remembered with all 3 was to slowly raise the needle to remove it from my finger, rather than pull my finger away, especially with the LA and it's larger needle.
"Sew," welcome to the club! You are now zen - one with your sewing machine.
