It's really safe, and the only real danger is getting an infection from a bad shot... but yes, there *ARE* risks... what can happen?
One problem is hitting a nerve, as there can often be nerves in the muscle area where you would give yourself an IM injection... you will DEFINITLY know if you hit a nerve - trust me, you will know!
The other danger is hitting a vein - to prevent this, once you have injected, simply pull back on the plunger - you shouldn't see ANY blood in the barrel of the rig, if you do, find another location...
The thing is, heroin is good snorted, decent smoked, awesome banged, but an IM injection doesn't really so that much for some reason - even though it all goes the same place... the heroin just isn't absorbed that great.. if yer gunna cook your dope and load a rig, why not go for IV? Wait, on second thought, don't answer!
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"I am not one of those weak-spirited, sappy Americans who want to be liked by all the people around them. I don't care if people hate my guts; I assume most of them do. The important question is: 'What are they in a position to do about it?'" (William S. Burroughs)