Oink,
The tags need to have YOUR herd no. no matter where they came from. The herd no. relates to your pigs on your holding.
You should (and hopefully did) apply for a herd no. when you got you last set of pigs.
Pigglewiggle - We only tag the day before they go off. No point in doing before, as there is always a chance that they will lose them by pulling out if they get caught on something. Also take the applicator and a spare tag along with you just in case!
As JulieS says, the pigs hardly notice - do it whilst they are eating, and they will jump slightly when you do it, but almost immediately go back to eating.