The short answer is it does sting to get hit with a paintball. The long answer is you are normally going to be wearing enough clothing and protective gear so it will not hurt as much as you would think.
Getting hit in the head will hurt more than, say, in the leg.
Distance Matters
The closer you are to the firing paintball gun the harder it will hit you and the more it would hurt.
Paintballs matter
The other thing to keep in mind that different types of paintballs will hurt more, or less. 43 caliber bullets aren’t as heaving as 68 caliber ones so they would not hurt as much.
Obviously the point is to not get hit so go out there and have fun!