Are you injecting in the right spot, in the "upper/outer" quadrant of your glute? I've always injected here, alternating right and then left glute, and never had a problem as you've described.

You might be:

pushing the injection in too fast, not giving it a chance to dissipate.

twisting the needle. Do you have a friend who can help out.

using a drug that, of it's nature, "hurts".

Good luck.

-T