What kind of sensation are you experiencing?
There is a sharp pain involved sometimes in the initial point where the needle pierces the skin. Over time, this also might become more difficult to do as scar tissue accumulates in the area, and this also results in more pain.
If you have very thin legs, you may need a shorter needle. For intramuscular injections, an average size or heavier guy can use something up to 1.5" in length. If you're thin, I would request 1" needles. You could also consider switching to subcutaneous injections which don't require too much depth and use shorter needles.
For me, I divide the leg in half at the knee and in half mid-thigh. I keep to the outer side of the leg and I try to stay within 4-6 inches of the middle (so 2-3 inches out from the mid point of the thigh). Every now and then I will get some random pain once the needle is in. If I feel like it's getting worse as I press or if I'm encountering significant resistance, I just inject right there and then remove the needle.
Maybe once a quarter I will get some significant bleeding when I remove the needle. It's random, most likely from nicking a capillary. I've never had any issues aside from this. I'd suggest going back to the nurse or doctor who initially taught you to inject and having them show you again.