Ahh...first time worries!!! I think you probably did fine. Did your doctor specify where on your body you would have the best results with your injections? I have used my glutes, thighs, and upper arms, and all seem to work just fine. As long as your needle is long enough and you do not have an extraordinary amount of fatty tissue to get through, I think it will be okay. Some people even do injections right under the skin (subcutaneous), so be assured that it is fine. You may want to look at some online tutorials about self-injecting if it might help your confidence, and next time you visit your doc maybe ask what they might recommend.
Regarding the headache...it may be the T, or it may be any number of other things such as dehydration, stress (did I waste my T by not doing my shot correctly?

), hunger, eyestrain,etc.