Can you please tell me about skin grafting done on their gums, and how bad does it hurt?

Almost pain-free! . Depending upon your needs and current condition, grafting can be done with tissue from your mouth, a cadaver source (human or animal) or laboratory synthetics. Sometimes we can even make extra tissue from membranes created out of your blood (no pain!) talk to your general dentist about options. If your dentist is not trained in these procedures, (many are) s/he may refer you to a specialist.
Some discomfort. Gingival grafting is actually two surgical procedures: one is the site to be grafted and the second is the host site, where the graft is harvested - usually the hard palate. So, you have two surgical sites that must heal. Your own pain threshold determines how you respond to pain. There will be some discomfort.