How can I increase my pain threshold?

http://www.icemanwimhof.com/innerfire This guy! Watch his short documentary by Vice. Here are some of his feats. Hof holds 20 world records, including a world record for longest ice bath.[3] Wim describes his ability to withstand extreme cold temperatures as being able to "turn his own thermostat up" by using his mind through yoga.[citation needed]2007: He climbed to 6.7 kilometres (22,000 ft) altitude at Mount Everest wearing nothing but shorts and shoes, but failed to reach the summit due to a recurring foot injury.[4][5]2008: He broke his previous world record by staying immersed in ice for 1 hour, 13 minutes and 48 seconds at Guinness World Records 2008.[citation needed] The night before, he performed the feat on the Today Show.[citation needed]2009: In February Hof reached the top of Mount Kilimanjaro in his shorts within two days.[6] Hof completed a full marathon (42.195 kilometres (26.219 mi)), above the arctic circle in Finland, in temperatures close to −20 °C (−4 °F). Dressed in nothing but shorts, Hof finished in 5 hours and 25 minutes. The challenge was filmed by Firecrackerfilms, who make productions for BBC, Channel 4 and National Geographic.[7]2010: Hof again broke the ice endurance record by standing fully immersed in ice for 1 hour and 44 minutes in Tokyo, Japan.[8]2011: Hof broke the ice endurance record twice, in Inzell in February and in New York in November. The Guinness World Record is now set for 1 hour and 52 minutes and 42 seconds by Hof.[9] In September, Hof also ran a full marathon in the Namib Desert without water. The run was performed under the supervision of Dr. Thijs Eijsvogels.

I'm not really sure if that is something to be worked on. If so, it's going to be a combination of mental toughness and repetitive deadening of your nerves. When I was younger, I would walk around and punch the steel beams that held up my building where I worked at. Not haymaker wild swings, but controlled flat landing punches that hit with a smacking thud, after years of this, the punches got harder and harder as my fists became immune to the pain of the previous comfort level. The other part of increasing your threshold for pain is not to deaden it. Now this is where crazy comes in, when something causes pain, you have to be fully aware of it, almost with a maniacal glee... "Woo! This is going to hurt!" but you are really just shrugging it off, and over time it gets easier to ignore the trivial pains. Just teach yourself that pain is temporary, and get out of the habit of bending over and making a spectacle of your injury. Get up, act like nothing happened, even better get up and act like whatever just happened was not even enough to slow you down. You know it's going to hurt, you know the pain is like a wave, you feel it coming, you know how high it's going to go, and you also know it will settle down again, you just have to ride out that wave. I am sure there is a medical explanation for this, maybe the forced release of endorphins or something, I don't know. Maybe it's just "crazy", I'm sure I am about to find out from Quora! Haha

For short moments of pain you can see coming - like a needle or a cut - breathe out with your lips pursed. It always helps me at the doctor's office or at the dentist.

Pick up road cycling. Go out in all weathers and dig deep. Turn the pedals until your insides hurt. If you won't get acquainted with suffering, you're not doing it hard enough.

It's about the same way you'd get used to spicy foods. You take it voluntarily in small amounts and work your way up. You won't be able to stop yourself from feeling the pain but you'll be able to change your reaction to pain to what you want it to be rather than what it currently is.