I've done the infamous finger-through-palm trick a few times in my lucid dreams, and it didn't hurt. Just felt really weird.

Oh and I got shot once and it didn't hurt either, but I wasn't lucid in that one.

Seems like I have been cut in dreams and it DID hurt but I just can't remember at the moment. As far as feeling pain in lucid dreams, I think you should be able to 'make' it hurt by concentrating. I also think you may even be able to stop pain via dream control. I don't see why not.