My first inject was the same way... sore as hell, and just kept getting sorer over the next 3-4 days.
Here's the trick for glutes. Pick the the upper/outer quadrant of a glute, hold the pin right up against the skin -- then use light pressure until the skin gives way. Before you even touch the pin to your skin though, have your fingers on the barrel so you can inject.
Ease the needle in, bury it into your glute and do *NOT* wiggle it even so slightly. Since your fingers were already in the firing position, keep the needle perfectly angled as it was when you put it in... then slowly inject and remove the needle. Don't jerk it out, but remove it deliberately and quickly.
Thanks,