When you feel the pain, practice your relaxation techniques for labor. That's what I did. Painful pregnancy nursing is good practice for labor ;).
Whether or not he's get the nutritional benefits from the milk depends probably depends on if you're completely dried up or not. Either way, he's definitely getting the emotional benefits nursing provides. I would just continue to nurse him as often as either he or you like.
My nipples have been sensitive throughout my pregnancy (39wks now), but to varying degrees. Sometimes just the initial latch, sometimes worse. Practice your coping techniques, like the PP said, but also practice flexibility and knowing your own boundaries. If you're finding yourself feeling too annoyed or resentful, try a change for a little while: shorter nursing, less often, more at times of day when you feel more relaxed, etc. A week later, it may feel different.