I have had 2, the mirena. I recommend taking the pain pills before hand just in case you have some discomfort. I spotted a while after my first one was inserted, so be prepared for that and have a mini pad or something with you.
Saying relax is kinda funny. It is noth the most easy thing in the world to do... but breathe. Picture your favorite beach or what not and just breathe through it and you will be fine.
I think I did quite alright, I was a little nervous but after I got in the room the nurses were extremely kind and it gave me more confidence and chilled me out. We joked and she talked to me during the process so to distract me which helped :)