Hi,
I'd definately let them know what's happening beforehand. I let our 4 yr old know that it would be a short, sharp jab (I flicked his arm and he said 'but that didn't hurt!).
They're actually pretty full on, with tetanus in one of the arms, so I'd take some kiddy panadol, just in case. I hadn't used panadol for immunisations before, but he was miserable afterwards and didn't even want to eat the chocolate I had taken.