I just had mine done today (40+1) and honestly it wasn't bad at all...zero pain. This is my second baby however so that might have made a difference; your vagina is usually more laxed after having a first baby. The biggest advice I'd give you is to relax and breath during the exam. Just like when you're in labour, the more you clench up and tense, the more it will be uncomfortable. Take deep breaths in and out and it'll be over in a few seconds!
It’s slightly more uncomfortable than a cervical check but it didn’t work for me with my first. I got it done at 38 weeks and still had to be induced at 41 weeks.