The proboscis of the mosquito inserts painlessly because the jagged edge of the proboscis leaves only small points in contact.
"In mosquitoes the proboscis is a marvelously intricate structure…consisting of six different stylets, each adapted for a particular purpose--for making the primary incision, inserting anti-coagulant and digestive enzymes contained in the insect's saliva and, finally, withdrawing the blood itself. All the stylets are secreted within a protective sheath formed by the labium or lower lip, which, during blood extraction, is slid up out of the way into a loop form." (Wootton 1984:72)
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