Well Bodey had his head stuck in a bucket when he had his done so if he did feel it he certainly didnt let us know (he isnt a sensitive soul). And there was no smoke, only from the dry ice box itself.
I had mine done last week there is no smoke to speak of , i had mine mildly sedated and were good as gold the youngster is not bothered by his freezemark but my shettie is still upset if i go near it for too long.
My youngster got bored and irritated after a while - they hold the irons on for ages. I don't think it's painful but it seems to be uncomfortable. I'd imagine it's similar to pressing an ice cube to the skin and holding it.