I guess I'd like to add to this a little...
From what what my uncle's second cousin's third nephew told me...
Soap up the target injection site and let it sit for 30 seconds or so, clean off with water. Use a fresh wash cloth and towell, or maybe do the injection after a good shower.
Take vitimin C, with bioflavinoids on the days you plan to inject, to help prevent bruising.
Once the site is nice an clean, swab the site down with alcohol. Prepare a bandage coated with triple anti-biotic ointment, such as Neosporin.
Warm the vial of oil, in a bath of water, so that it's around 100 degrees. You don't want it any warmer than this.
Attach a 20g, 1" needle to your push tube, and fill it with the air which is the equivalent amout of oil that you plan to inject. 1 cc is fine for deltoids. Quads can take 2 ccs. Clean the top of the vial with alcohol (assuming you have one with a rubber stopper), stick in the needle, pump in the air, and draw out the oil that you plan to use. Pull the needle out of the vial, draw back on the plunger to get some more air, clean the top of the vial, and switch to your shooting needle, 25g, 1" for example.
Hold the syringe vertical, press on the plunger to get out the air, wait for a drop or two of oil to come out, and hold.
Wipe the injection site with rubbing alcohol, deltoids, and outer quads are good targets. Inner quads work too. If you're hitting your deltoids, rest your arm on a table, for better stabilization. Slowly insert the needle, trying to avoid nerves. When you approach a nerve, its very similar to the feeling of an electric shock. If you hit a nerve, abort, and try another location, maybe an inch away.
Once you get the needle in, draw back lightly on the plunger, and see if you get any blood. If you have blood, you're in a blood vessle, and need to find another location.
Once you're in, and are in a good location, you can start pushing the fluid in. With a 25g pin, 1cc of fluid may take 50 seconds to go in. Make sure you continue to breathe.
Once the fluid is in, pull the needle out. Don't freak out if blood starts running out the injection site. It happens. Blood or no blood, apply pressure to the injection site for two minutes. After two minutes, apply the Neosporin coated bandage.
Don't be surprised if the injection site hurts and the muscle is knotted up for a couple of days. This is normal. Make sure you rotate injection sites, not hitting the same site more than once per week.
Take your temperature, watch the injection site. If you start running a fever of 101+, or if the site turns red like you have an infection, go see a physician immediately.
The first couple weeks of injecting can be quite stressfull. Once you get your technique down it's not so bad. Your liver will thank you.
There's a good .pdf file on injection techniques that can be found here:
http://www.breastcancerprofessional.com/contents/public/onc/nursing.pdf
-Tinytoad