I have decided that the best thing I can do to inform both our Members and any unsuspecting General Public who have stumbled their way here is to direct you to someone who actually knows what they are talking about, so have a look here; http://www.insectstings.co.uk/beesting/
A sting in the tail!
I undertook my first inspection of the season in early May, and was rewarded for my efforts with two stings. One of these was on my finger while marking a new queen, and the stung hand proceeded to swell up quite noticeably, despite the relatively prompt removal of the sting.
At the time I made a point of using the hive tool to scrape the sting out, as beekeeping 'folklore' would have us do. The theory behind this is that 'pinching' the sting with the fingers in order to pull it out increases the venom delivery. However, subsequent investigation turned up research that indicates that squeezing has no effect at all on the amount of venom delivered: the only important factor is the length of time the sting remains in the skin.
For any readers that may not be familiar with the fine structure of the honey bee sting, it consists of a pair of barbed lancets, to which are attached a muscular structure and the venom sac. The venom sac has no muscular components, and is therefore unable to 'squeeze' venom into the sting site: the venom enters through the operation of valves in the structure.
In my own case, there was a delay of several seconds while I put down the Tipp-ex, and found my hive tool to scrape off the sting. Had I simply put the Tipp-ex down, and pulled the sting out with my fingers, the envenomization would have been less, and the subsequent reaction more moderate.
So, if you are stung by a Honey Bee (the only member of Hymenoptera with a barbed sting), don't delay for any reason: pull the sting out, and use any means at your disposal to mask the pheremone given off at the sting site (its tendency to attract other bees to sting there is definitely not a myth!).
If you want to read further, an article describing a detailed investigation into removal techniques can be found here: http://bees.ucr.edu/stings.html, and an internet search on honey bee stings will produce lots of results.