it's normal...it'll be freaky the first time you nick a vein and blood is squirting out of you. lol.
You can try the Z method, which is (say your doing a glute injection) pull the skinn to the left or right, inject while holding it there. Remove the needle then relase the skin. This creates a sort of "Z" pattern which doesn't easily allow the liquid to come back out.
Another alternative is to leave a small amount of air in the syringe, the last thing you will inject will be a small air bubble which wont matter if it leaks out. Most people are scared of this method though...the mystics of air + needles.