The guy seems intent on wanting to shoot up, we aren't his parents. He's not asking whether it's a good idea or not, he wants to know how to do it.
Anyway, if you inject air into an ARTERY, you'll likely cause some serious complications, even a small air bubble can cause a blockage once it gets to the capillaries, and thus loss of a limb (just sticking a needle into an artery without injecting anything can cause serious complications)
If you inject into a vein, the air bubble goes to your heart, which pumps it to your lungs, where the air gets trapped in the capillaries and eventually resolves itself. If you inject enough air this way, it'll block all the capillaries in your lungs and you will suffocate. (YES, the air bubble DOES go to your heart, but the myths that it makes your heart explode are ridiculous. Unless you manage to pump enough air into it to fill up the entire ventricle). In the ordinary course of shooting up, there's no way it's possible to shoot up enough air to cause serious damage. You either have to be doing it intentionally or you have to be incredibly stupid.
It might be possible to block the vein with an air bubble (like an airlock), but you're more likely to cause it to block/collapse due to poor technique or contaminants in the drugs then air.