I did the 5000 units of Fragmin from 5 weeks or so, until 20 weeks, when I was switched to 7500 units. I was also on Aspirin.
I found it easiest to do in my stomach, and was told that it has the best place to inject so it go to where it needed in the doses it needed to be in. I guess if you do it in your leg it doesn't get in in the concetrations needed.
I found it easiest to just pinch the skin and fat flab and inject the needle quickly. Then you inject the med slowly, and it seems to hurt less. I had one side that seemed to hurt less, and so I tended to do it the most in that side. Don't be scared if there is blood coming out, it just means you hit a tiny vein. That is when it seems to hurt the most.
I never froze the area first as it made it harder for the needle to pierce the skin.
Good luck.