Hope it works out for you. The hard part is keeping your leg relaxed, you might start flexing your quad and not notice. If you slide the pin in slower it is almost as if you can feel if you hit a vein, you could continue to push through it (aspirate to make sure your not actually going to inject into a vein) and inject the oil, but you usually end up with blood afterwards. After I am done pushing the oil through I leave the needle in an extra 30 seconds, pull the needle out quickly, grab my opened alcohol wipe and apply pressure to the injection area for 60 seconds (this helps keep any oil from possibly seeping back out). I don't massage the muscle after an injection and have never found it beneficial after pinning, if anything it just seems like it irritates the injection site.
I'm not qualified or experienced enough to give pinning advice, but after following posts for several months and trying various needle gages, lengths and muscle groups to pin, I found that a 27 gage 1/2" needle in the quads works best for me. Pinning test E and EQ. it takes a little longer to get the plunger down but no pain and no pip (depending on the where the gear comes from). I've got big quads and no fat, so maybe that's why I can use the 1/2". I don't know, but never had a problem.