It can be tough to give a shot to an animal for the first time. In some cases, the animal probably will not take it as badly as the person giving the injection. At least that was the case with me; when I gave my first shot, I felt terribly guilty and apologized profusely for doing so. Fact of the matter is, however, you are doing a good thing for your chickens when giving them shots. It only hurts for a second and it improves their well-being, so there is no reason to feel guilty or put off learning to give injections.
When medicating a chicken is necessary, shots can be very beneficial for several reasons. Oral medicines work as well but giving a shot is a superior method when it comes to the fast, accurate delivery of meds. For example, with a shot, you know the exact dosage you administered, whereas if you put medicines in water, there is no way to truly know how much a chicken received, if any, as chickens may go off their water due to the taste of medicines. Shots also allow medicines to get where they need to be more quickly so they can go to work immediately with the medicine in full affect much sooner than those administered orally.
When preparing shots for your chickens, do so in a clean environment free of confusion, such as in your kitchen. Fill syringes and replace caps before heading outside so you do not accidentally stick yourself or contaminate a needle. Once you are ready to administer the shots, you will need to capture and hold the bird with its breast exposed (having a helper might make this easier). It is into the breast that the shot should be administered, but be careful to avoid the breast bone and avoid getting too close to the wing, abdomen, or neck, centering your shot in the breast instead. Separate feathers to expose skin, clean the area with an alcohol swab, and give the bird a gentle stick. Before you push the plunger, check to see if blood appears in the contents of your shot; if so, pull back as you have hit a vein, but if not, go ahead and administer the medicine. In some cases, birds will shift position and squawk but it is more out of surprise than serious pain.
With the needle withdrawn and capped off for safety, give the area of the shot a gentle rub to help disperse medicine and your chicken is good to go on its way. Do keep in mind that the advice here is general at best and the choice to administer shots, especially for the first time, should be discussed with your vet. Learning to do so, however, is a beneficial skill to have and one that can be utilized for the life of your chickens, but it should always be conducted with care and at your own risk.