I bleed all the time because I have the manual dexterity of a toddler. Like maybe half the times I jab myself. It's gross and messy but nothing to worry about. The big veins you wanna avoid are on the inside of the thigh - you're much more likely to knick and go through a tiny blood vessel than to inject it into your blood system.

If you are real worried, you can do a little draw once the needle is in your leg (aspiration) - if you are in a blood vessel you'll draw up blood. Much more likely you'll draw up nothing. I usually don't bother doing this anymore though since it does increase the odds of moving the needle while inside and making it hurt more than it needs to.