It may not go through a lot of tissue, but frenulum piercings can be kind of painful. Grab your frenulum between your thumb and forefinger and pinch it. It's a sensitive area. But it's over rather quickly, it heals without too much complication, and it's cute. There are a few caveats with this piercing, though. One - not everyone can get it. If your frenulum is too small, it can't be pierced. Two - it can be prone to migration and rejection, because there isn't a lot of flesh holding it in place and natural movement of the lips can put stress on the piercing. And three - it can cause gum and/or tooth damage, which may or may not be reversible. It's important that you keep a close eye on it for any signs of irritation, indentation, shifting of teeth, scratches in the enamel, etc.
Frenulum piercings are delicate and therefore the jewelry also needs to be small and delicate. This is the only type of piercing that I advocate the use of jewelry as small as 18 gauge. An 18 or 16 gauge CBR that is very small around - usually 1/2 inch - is all this delicate area can really handle.
Healing is pretty quick - about four weeks max for a healthy non-smoker.