1. It's hard to say, but virgin muscle is ALWAYS going to hurt a bit. How long was the needle? If it's a 1", you want to bury that all the way in, assuring you reach the muscle belly. Injecting too shallow could cause a little extra PIP (post-injection pain), which is likely the case as well as it being virgin muscles. It will get better over time.
2. You can warm the oil by placing the vial into a small bowl of heated water or even running a hair dryer over the syringe pre-injection. I don't personally do this, but I do know that taking a nice hot shower before you pin can help as it relaxes the muscles as well as your mind. Having shaky hands (common) with a razor (needle has a blade on it) is a sure-fire way to do some trauma on that body of yours. Relaxing will help enormously, as well as getting in more experience. You can also take an ibuprofen to ease the PIP if you find it necessary.
3. No. All virgin muscle will be nearly the same. The only location I had relatively little issues with were my delts.
4. In the same vicinity, yes. Be sure to rotate between sites though, you don't want to build up scar tissue by causing trauma to the same site over and over. For a rookie, I'd go R-Quad, L-Quad, R-Delt, L-Delt and repeat. If you're comfortable, you can even bring in glutes or ventrogluteals as the more sites you're comfortable with, the better.
Just stick with it and be sure to apply pressure, but NOT rubbing the injection site post-injection. You can use heat, but not cold as that can cause the hormone to crash while in your body - which will make things worse for you, and ibuprofen is always okay if needed. Other than that, you're going to have to let time do its thing.
My .02c
