I found that stings to thin-skinned areas (inner arm, backs of thighs) had a larger reaction than thick skinned areas (fingers, hands). In a sensitive area, I would get a lot of swelling over the next 24 hours, followed by intense itchiness for about a week. Going into this year, that reaction was pretty standard. After doing a number of removals and getting quite a lot of stings during one of them, I don't get the swelling or itchiness anymore, just the immediate small reaction right after I've been stung (mosquito bit-looking thing) that goes away in an hour or so.
I would say that stinging yourself on purpose on a regular basis is probably the best way to build immunity, rather than just wait and take the stings as they come...it will just be over much faster, and then you don't have to worry so much about being stung.