Steroid injections are generally injected intramuscularly (into the muscles). With intramuscular injections, there is a risk that you could hit a nerve if you inject in the wrong place. This can produce more blood than usual, and may also cause lasting damage and paralysis in extreme cases. Injecting steroids into veins carries serious health risks and can result in death.
Make sure you understand where it is safe to inject and use a new needle that is large enough to reach the muscle. If the needle is too short, it can damage the fatty tissue. Needles that have been used previously become blunt and can also carry bacteria or viruses. More information on how to inject safely is provided here and you can ask for more information at a primary Needle and Syringe Program (NSP).