If it not warm to touch and red, swollen or you have a fever (temp), I'd assume it isnt an infection. Unless its any of these above, I highly doubt its an infection that needs to be addressed by way of anti-boitics, lancing or both.
What happens when you massage the area or place a heating pad on the site? Does this help with the pain?
I cant say I've had these symptoms, no.
Could you have injected too deep? How many times have you injected int he glute proir to this problem?