Is it normal when.....

The first time I take the shot that I get lightheaded, dizzy, and nauseas?

I heard that happens because of it being introduced into your system??

Please let me know.. Thanks.

sometimes anxiety from injecting yourself if your not used to doing it

Ive gotten some cold sweats before and found it hard to breath a few times before.
As long as your not hitting veins or arteries, or shooting big air bubbles into yourself then you should be alright