Interestingly, this does not work if someone else touches the injury.
Research: Touch reduces perceptions of pain
September 24, 2010 (CHICAGO) New research finds says there may be a very good reason. According to a report in the journal Current Biology, touching the affected area allows a picture of the body to form in the brain. This is important because researchers say the way the body is represented in the brain is key to reducing perceptions of acute pain. They say self touch provides strong evidence to the brain about the correlation of pain signals and where they are coming from in the body.