If you're pulling properly, the horse should barely even notice what you're doing. My gut says you're pulling way too much hair at one time and he's telling you it hurts. Also, try pulling after a workout - some horses do better when the muscles are warm.
I use a plastic, wide-toothed human comb with a handle. Take 3-4 hairs in my left hand, hold the comb at the crest with my right (dominant) hand, and put downward pressure on the comb - the hair comes right out at the roots and the horses rarely even bat an eyelash. The leverage of the comb does all the work and your fingers don't get sore (unlike that awkward tiny metal comb method which always cuts your fingers.)
Also, do a few hairs along the entire length of neck every few days for the best results - if you do the whole mane at once, all the new hair will begin growing back in at once. Then you'll be dealing with those annoying, pokey, baby hairs sticking up everywhere when you go to braid or band.