My boyfriend started T two and half months before me and watching him do the shots really helped my fears. By the time I started I already knew how to draw and inject myself so I basically explained to my endocrinologist how to do it (since I'm over 2 hours away from him). He let me do it at home. I've done them all by myself.
I don't give myself time to get anxious. I think if I actually thought about what I was doing, I'd FREAK OUT. I just draw it and poke myself without giving myself time to get anxious. I think that's the key. I've always hated needles... to the point of passing out during injections in doctors' offices before.