The first time is the hardest, as we all have that bit of self-doubt lingering inside. You can just go do it at your doctors, for the first time, so he/she can walk you through the steps. Or perhaps the pharmacy where you have been getting the injections done, can walk you through it as well. Like Dex said, it does become a ritual and after a while, there is not much thinking when it comes down to it. And if you are nervous about doing it alone, even after being showed, I am sure you could continue to go to the pharmacy for as long as you need to become more comfortable with the process. Since it is something that you will have to deal with for the rest of your life, it is important to take the time you need to get acquainted and comfortable with doing the injection yourself.
I did the first injection at the doctor's office and never looked back since then. I did intra-muscular injections every two weeks, for years before switching to subcutaneous injections, on a weekly basis.
