My practice is pretty much the same as Rengar's, except after my third shot I decided to learn the z-track method for IM injections, and it seems to have reduced the creation of a sterile abscess and soreness significantly, regardless of the leg I use.
Tip: if you're having a nurse demonstrate shot procedure, be sure they don't try to do it in your buttocks, as my nurse did. The outer thigh is best for people self-injecting, since it's fairly difficult to properly give yourself a shot in your behind. Luckily, I'd done enough research to interject with "Well, they can also be done in the thigh, and I'd prefer that." After checking with other staff she came back and taught me how to do it in my thigh, but she let me do the shot at her instructions, rather than just showing me how and pricking me herself.
Good luck!