When in doubt, call your doctor. When dealing with medication, it's best not to risk it.
But anyway, as far as the pain goes, my leg is always a little sore about a day after injecting, it typically lasts for two or three days, but this seems to be normal. After all, we are jabbing needles into our muscles, and muscles don't like being jabbed by needles. Depending on where exactly the needle went through, it's very possible that you could have some bruising - if you went through or knicked a vein, it's certainly not uncommon. Did you bleed when you removed the needle?
I do have a question for you though. When you inject, after you pull out the needle, do you rub the injection site? It's recommended that you do, doing this keeps the T from staying in one spot and helps it disperse. I've forgotten to do it a few times myself, and it's hurt longer, felt hard, and was very warm, just like you described.
But like I said, if you're worried, there is nothing wrong with giving your doctor a jingle, I'm sure they'll be able to help you figure this out. Good luck, dear!