Burn? WTF are you injecting?
I still can't jab in a needle. I'm a pussy when it comes to using the needle like a dart on myself. I go slow. I think I sat there for half an hour at least and looked at the needle and thought about how much of a pussy I was (much like the poster above, and probably everyone their first time). I got some great advice though: just touch the tip of the needle on your skin and slowly press it in. What scares people the most is the anticipation of a large painful event. If taken slowly like this it reduces anxiety and allows you to completely control the pain. You can keep pushing as long as you are comfortable with the pain, and before you know it it's in. It only hurts going through the skin, past that and it's pain free (unless you hit a nerve, but that's rare if you do it in the right areas).
As far as glute shots, I lay on my side and put a pillow next to my butt to support my hand. This position allows me to relax my leg and glute. I know some guys that do it standing up. I never could relax that way.
You can rotate sites pretty easily. I'd just go with vastus lateralus and deltoid injections. When you get more comfortable I would suggest dorsogluteal, and eventually ventrogluteal when you're really comfortable or you need additional injection sites. For most people the delts can take 1ml, the quads 2ml, and the glutes 3cc per injection.