Will my baby feel it if I give myself an insulin shot in the belly?

No. The baby's nervous system is not connected to your and he/she cannot feel your shot.
No. While you and your baby are so close during pregnancy, your baby doesn't feel everything you do. Your baby doesn't feel the sting of the needle during Insulin or vaccine injections. It is not only safe to do that, but helps the baby be as healthy as possible!