You should most definitely not be thinking about injecting Clonidine (Catapres). You have an obsession with injection that you need to deal with. It's not uncommon for folks to want to attempt to inject every drug they've ever used, but when you inject pills or anything for that matter, you take a major risk with your health. You're correct in using it for anxiety. It's actually a pretty effective little pill when you're dealing with minor anxiety; pounding heart, tight chest, fidgeting... it's great for that.
It's not ever going to be as effective as something like a Benzodiazepine, but, should you combine the usage of this drug with other, more holistic methods of anxiolysis, like deep-breathing for instance, it can be a great adjunct.
Do not inject it. I'm not in support of that idea. Use it as prescribed and do your best to reap the benefits the drug provides. I believe that, although still pretty common, Clonidine is not prescribed enough for this purpose.