It usually doesn't hurt. Most places require the speed to be below 300 (kph? whatever the little machine says). Some even lower than that. As long as the speed is between 270 and 300 and you don't get hit at point blank it doesn't hurt; even when you get a nasty, cool looking welt. Any lower than 270 and the balls don't break, and they hurt when they don't break. Any faster, and well, it's obvious. The only places I remember it hurting are on my fingers and top of my head.
When I go I always wear knee pads. You're going to do a lot of sliding and ducking on your knees. The first time I went I didn't have knee pads and I got scratched up pretty bad when I had pants (jeans) on.