Don't think anyone's worried about it "hurting", it's just the act of pouring a saline solution in one nostril and letting it pour out the other.
@Ivo I've never used a nasal spray, but last winter my friend gave me this nasal gel stuff to try out that would stop a runny nose. You squeeze the gel into your nose and then pinch your nose so you close your nostrils. Holy hell. The sensation was weeeeird but it definitely cleared up my nose.