Friends:

The ability to feel Pain ceases in the 1st Jhâna!

The Blessed Buddha once said:

Here, Bhikkhus, while a Bhikkhu is dwelling diligent, enthusiastic, &
resolute, there arises in him the ability to feel pain. He understands
thus: There has arisen in me an ability to feel pain. That has a cause,
a source, a causal condition. It is impossible for that ability to feel
pain to arise without a cause, without a source, without a condition.
He thereby understands the ability to feel pain; he understands the
causal origin of the ability to feel pain; he also understands the very
ceasing of the ability to feel pain; & he understands when the ability
to feel pain ceases without any remaining trace...
And where, Bhikkhus & Friends does the arisen ability to feel pain
cease without remains? Here, Bhikkhus, aloof & above of any lust,
quite secluded from any sense desire, thus protected from every
disadvantageous mental state, one enters & dwells in the 1st Jhāna
mental absorption; full of joy & pleasure born of solitude, joined &
fused with single-pointed directed thought & sustained thinking....
It is right there that the arisen ability to feel pain ceases without
remainder. This, friends, is thus a Bhikkhu who has understood the
ceasing of the ability to feel pain! He directs his mind accordingly!

More on ending Pain:
http://What-Buddha-Said.net/drops/II/Ending_Physical_Pain.htm
http://What-Buddha-Said.net/drops/II/Ending_Pain_Itself.htm

http://What-Buddha-Said.net/drops/III/Craving_is_Pain.htm

Source (edited extract):
The Grouped Sayings of the Buddha. Samyutta Nikāya.
Book [V:213] section 48: The Abilities. 36: Irregular Order ...
 

On how to attain the Jhāna absorptions:
http://What-Buddha-Said.net/drops/Details_of_the_Jhana_Absorptions.htm
http://What-Buddha-Said.net/drops/Requisites_for_Jhana_Absorption.htm
http://What-Buddha-Said.net/drops/What_is_Right_Concentration.htm
http://What-Buddha-Said.net/drops/III/Concentration_Samadhi.htm
http://What-Buddha-Said.net/library/DPPN/wtb/g_m/jhaana.htm
http://What-Buddha-Said.net/drops/Samma-Samadhi.htm