My diabetic friend laughed at me when I told him how anal I was in sanitizing everything. Apparently unless the injection site is visibly dirty or sweaty he doesn't even bother. The biggest risk for infection is from using dirty needles.
I would imagine that they don't use peroxide for injection prep because if you managed to inject any it would do more damage to your cells than alcohol would.
As I understand it, most hospitals don't use either anymore because of the risk of cell damage in open wounds. They clean it with saline solution and bandage it up with antibiotic cream.