When I use painful choice or any card like I usually put the cards in the middle of the field between my opponent's and my own monster card zones. I then send all cards not sent to my hand to the graveyard. Technically these cards are being sent directly from your deck to the grave.
Sometimes When I'm playing with my warrior deck I'll play painful choice and instantly anouce my targets without even looking at my deck (BLS, Exiled Force, Sinister Serpent, Magical merchant, and Greenkappa). My opponent will just tell me which one is to go to my hand and then I'll search my deck and send the appropriate cards to the grave and the appropriate card to my hand (then shuffle obviosly).
Hope this makes it easier to comprehend.