I do IM, but the first time I stabbed myself, the nurse supervised. It actually helped me. I rammed the needle in with no trouble. I was nervous, but I was more worried about looking like a wimp if I chickened out.
On the other hand, the first time I did it without supervision, I took quite some time to screw up my courage, and I found myself wishing the nurse were there!
I would just wait and do it their way. Stuff like this often doesn't require a formal appointment--you call them up, and they tell you to show up that afternoon or the next day. YMMV, but you shouldn't need to wait long.