You're dead, of course you don't feel any pain.

[He looks around, trying to determine who else is present, who else could be. Is he dead and John isn't? Sherlock had been shot, again - of course, and John was already bleeding from the stab wounds...]

I was shot. At least twice that I remember, on this particular occasion.
[It must have been more though. Shouldn't John be here too, if he didn't survive? The train is going very fast, a bit too fast, really.]