I only insert the needles superficially. Acupuncture needles are very fine; they are smaller than those used for injections and blood tests. It is not uncommon not to feel the insertion of a needle!
On a personal note I am not keen on needles either! Ironic considering I am an acupuncturist but this makes me acutely aware of needle sensitivity. I am always happy to talk through treatment with you and to show you the needles I use before treatment.