Eh, it probably wouldn't be all that painful, unless of course you mean having it pierced THROUGH your wrist, like from top to bottom. That would hurt alot. xD It depends on how big you would want it, really. Larger ones would probably be less likely to get caught on something and ripped out, but hurt alot more during the actual piercing, while a small one would be easy to rip out, but not be that bad when you're getting it.
If you're very careful, it probably would be ok. Just don't get it caught on anything. Ouch. xD
I'm just wondering why you would want one. I looked them up on the internet and most of them look... ugly. I mean, it just seems like an odd place for a piercing, unless you're one of those people with like- hundreds of random piercings.