It would be a lot more painful to shoot air into yourself. When I learned to self-inject, I had the nurse show me once, I mimed the actions back to her, and then I did it myself. I've watched one video on Youtube about the process since, and have not had any issues.
If you get nervous or feel like you're forgetting steps, it might benefit you to write out everything you need to do on a white board or chalk board and check off the steps each time.
