When I switched from my pump to Lantus/Humalog late last year, my doctor gave me the new Nanopass pen needles. They are quite comfortable, but I don't find 31G needles are really that uncomfortable in comparison.
I am not sure how much they cost because they were covered through my health insurance plan, but if they are significantly more expensive than similar needles, I don't think they are really worth it. I don't really find the pain of an injection is from the size of the needle, but more from the pressure of the insulin being injected.
It turns out when the new Lantus OptiClik pen replaced the old pen, I had to switch to 31G needles anyway because the Nanopass 33 needles aren't compatible with the new pen for some reason I don't understand.
I only reuse needles when I accidentally run out while I am out and about but haven't found that I feel that much more discomfort; however, I wouldn't do that regularly because of the risks of infection (or even injecting with a slightly bent needle)

. I tend to follow the rules.