I've only been on it 3 days, so I am certainly not an expert

I put it under my arm while I prep my site with alchohol.
I don't use an autojet & I push the needle in as deep as it will go (I am 5'6 & 115 pounds & I can still pinch plenty to get it in deep) I go in at a slight angle because I am thin. Then I hold mild pressure on it for a minute. Now here is the only negative thing. It burns. Boy it really does burn! Let's say it really gets you attention. That burning lasted for me about 15 minutes. I did not ice the spot, rub it or put any medication on it.
I do get a welt. It lasts for 1 day then it's gone.
I have had absolutely zero side effects from the shots.
I hope this encourages those just starting. I know I still have a good chance of an injection reaction & skin problems, but I'm feeling pretty good about choosing Copaxone at the moment. (hopefully my opinion doesn't change!)