A piercing to the inner labia is not as common as clitoris piercings. However, they are on average less painful. For a description on the inner labia, see the linked node. The healing time for this piercing is from 2 to 4 weeks, and I found that 20 minutes after I received the piercing, I never had pain from it again. The piercing itself is quite painful, and can be a bit embarrasing, as you need to shave the area, then pull your legs up to your chest to recieve the needle. This is especially embarrasing when the piercer is showing his son how to do it, as was my case.
I personally have had my inner labia pierced for about 2 years, and I really like it. Some people may think this is a strange thing to have pierced, but I feel it is just a personal thing that I can share with whom I feel without showing it to the whole world. In fact, it is the only body piercing that I still have. I used to also have my tongue, eyebrow, and belly button pierced, but thanks to the corporate world, the holes are now closing up. No one can tell me to remove this last piercing (except my parents, but they don't know about it), as unless I become a prostitute, no one will see it in my professional career.
And to answer the question that is prominent on most men's minds....No, I do not cum when I run.