The most important intervention seems to be rapid swaddling:

Physical intervention of the 5 S’s (swaddling, side/stomach position, shushing, swinging, and sucking) provided decreased pain scores on a validated pain scale and decreased crying time among 2- and 4-month-old infants during routine vaccinations. The use of 5S’s did not differ from 5S’s and sucrose.

Swaddling needs to be completed within 15 seconds of the last injection.  Interestingly, the addition of oral sucrose and water given 2 minutes before the immunizations did not provide additional pain relief for these infants.

From Pediatrics — May 2012.