After having the watch for nearly 3 weeks now and trying various methods of wearing the band I have put the issue down to the Stainless Steel Case with Milanese Loop combination. It's must be something to do with the way the case and band sits on your wrist and possibly the strength of the magnet as there are others with similar problems :
https://discussions.apple.com/thread/7026458?start=15&tstart=0
https://discussions.apple.com/thread/7029361?start=45&tstart=0
https://discussions.apple.com/thread/7019855
http://forums.macrumors.com/showthread.php?t=1880533&page=4
http://forums.macrumors.com/showthread.php?p=21290632#post21290632
I appreciate this is not effecting everyone but as many others with the issues report the same problem it seems for some of us unlucky ones this combo wont work.
I am now going to wait for my sport band to come and get rid of the ML and if the problem still persists will unfortunately have to sell the device despite really loving its functionality.
For your information today I have not worn my AW and have got on my previous usual timepiece and the pain as instantly gone with no odd sensations from my wrist to elbow!