Hi,
Are you US based, and if so, have you checked with your intended doctor to be sure that they will administer Aveed? Nebido is not available in the United States, and AFAIK Aveed is usually a by-request-only type of deal. I go to a large LGBT clinic and it is not available even by request here.
You can have the injection done in the thigh or the butt. The needle size used is actually the same size as what I use for regular testosterone cypionate. If done in the correct spot on the butt, there is no risk to hitting the sciatic nerve. Especially if it's done by a professional who injects patients there often. You'd be more likely to hurt yourself doing it, but even still - from what I understand if you divide the cheek into quadrants and stay in the top outermost one, you should be fine.
As far as the wait, it is not related to injection site pain. With Nebido and Aveed they are looking for signs of pulmonary oil embolism. These long-acting forms of T contain castor oil. If the castor oil travels to the lungs, it can cause coughing, difficulty breathing, sweating, chest pain, dizziness, and fainting. They are also looking for allergic reactions. It's much better for any of these things to happen in a doctor's office than once you've left, gotten into your car, and started driving.