I used a TENS machine with both my labours and found it to be invaluable, absolutely brilliant! First labour I managed to get by on that and the gas. Second labour just TENS. I find it really makes a difference to the pain level. During my first labour I accidentally turned the dial down during a contraction, and screamed at poor DH that it wasn't working and to go get another battery. Then I realised I just needed to turn it up, lol. So yep, definitely made a difference!
Trick is to put it on right at the start of labour, and ramp it up as your contractions get stronger.
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