I switched over to Delestrogen several months ago from the pills, and haven't had any problems with it. The first few injections were leaving me with a low estrogen level after about 10 days, and I was able to feel the difference. After three or four injections, everything stabilized, and now I no longer experience the sharp drop off.
As for self injecting, it took a while to find the exact spot where I should inject. I inject into the thigh, and some spots have proven to be painful whereas some spots are virtually pain free. Finding the best spot needed some experimentation. I was uncomfortable with injections, and wasn't looking forward to self injecting at first, and the sight of the long needle didn't help, but after I located the most comfortable areas to use, the entire procedure became uneventful and routine.
If you'd like to switch to injectables and have a question about it making you sick or having other problems, why don't you allow the nurse to do the first few injections if you'll have less stress that way? It will allow you to evaluate the medication without the same amount of stress, and it may help you in making your decision whether or not to switch.