1. Research! the studios.
2. NEVER ever get pierced with a gun. I did, before I knew better, and I still have the most horrible scars to show for it. 6 of them, actually. I was only lucky that it didn't get infected.
3. Talk to your artist. It's their job, and they will answer all the questions you might have.
Wash with sterile sea salt soaks.
4. Get gold, silver, titanium or surgery steel rings. Not studs, but rings. Preferably ball-closure rings. They're easier to clean, and the rings will help keep the wound from getting infected.
5. Make sure your artist uses disposable gloves, and get their needle from a new packet. Alternatively, look around for an autoclave. That way, you know the needles used will be sterile and "fresh".
I can't really remember anything else right now, but as I mentioned: talk to your artist!
And the pain isn't bad. Just like a little pinch in your lobe. It'll be over in half a second.