Having just spent 10 days camping out in special care, I got to see a lot of them done. When Samuel's was done, I was sitting attached to the bloody breast pump, but DH was with him. He cried and found it quite distressing, but had just been through a couple of days of 3 hourly heal *****s to check his blood sugars and would get quite upset over anyone touching his feet at all at that stage. I've also seen several babies sleep right through it, so their response can vary greatly.
As for the importance of it - the diseases it checks for are rare, but are ones where early treatment is vital. Having a friend whose baby was diagnosed with cystic fibrosis only through the heal ***** test - there's no way I'd refuse it now.
We weren't actually told about it until we began antenatal classes.
BW

