I've been getting injections for nearly three years, and it's been once a week for most of that time. I've had noticeable muscle soreness only a few times early on--once when the nurse did it and once when I clenched up because my then-partner came home unexpectedly just as I was injecting.
I shoot in the butt and have never injected into my thigh. I use a 22-gauge. A lot of guys like the 25-gauge, but I have trouble with one of my wrists and need a larger needle--I don't have as much trouble depressing the plunger. I rarely get any pain, just a poke. Once I guess I hit a nerve. Sometimes I really don't feel anything.
I suppose I'm more likely to nick a blood vessel with the larger needle, so I do get a bleeder every now and then, but I'm ready for it and don't mind it. I mop it up and stick a little Band-Aid on it.
When I was going to support groups, I heard a lot of guys say that the thigh hurts a lot afterward, and then I would find out that they didn't really have the muscle in a relaxed position. Quite a few would sit down on a chair with the knee bent, and that stretches the muscle and makes pain more likely.