I think the way the trick is done is he essentially has a healed piercing all the way through his arm. So he only had to go through the pain once and can now do the trick whenever he likes so long as he keeps the piercing open.
I had a look around at David Blaine poking various things into himself. I think I was probably wrong. It looks like poking a needle into a bicep is a somewhat common trick[1]. I assume he just takes the pain.
Still, I would tell everyone to be cautious believing a magician's explanation for any trick. Lying to mould people's memory of the trick is a really common technique. In one version of David Blaine's icepick through the hand[2] he says "This is the first time I let someone else choose the place" When he clearly chooses where to push the icepick through.
I'm thinking the healed piercing thing is what it is. Basically he has something akin to a fistula (https://en.wikipedia.org/wiki/Fistula) from repeatedly poking the same spot, but the outside heals over so you can't see the hole.
