Very little chance of hitting a nerve or vein if you inject in the correct place.
Do this...
Find the head of your femur.. the ball part of your thigh bone that sits into your hip. (outside upper quad) Put the heal of your hand on this spot, with your fingers pointing down your quad. Spread your fingers like a vulcan. The spot between your fingers is your injection spot.
The size of your needle should depend on what you are injecting. Oils typically require a larger bore needle, 22g is probably the largest. For water based, you can use smaller bore needles. Also, make sure you needles are long enough, minimal 1" (1.5 is better) in order to get a deep IM injection.
A warm compress and massage afterwards will take care of the pain.
Good luck...