I think both of them are correct . It's depend upon you , what you want to say .

There is not much difference. Either is fine.

Thanks.

i agree with Tyler Nilsson, you feel pain cause pain is a feeling, but one can say "i have pain"

Both make sense. "I feel pain in my hand." or "I have pain in my hand." the English person would understand either way. But, if you are just saying "I feel pain" or "I have pain". I think you should say "I feel pain" because pain is a feeling.