i doubt it is an infection. i had a pin in my quad one time.... the pain traveled down my thigh. so did this little swollen puffy spot. down to my kneecap basically. i was like wtf is going on. is an alien gonna hatch out of my fucking knee? it did, but that's a different story, and had nothing to do with the injection. long story short, you're gonna be fine, just keep an eye on it.
when you get close to major nerves, you will get a jolt. that needle will shoot out of your thigh so fast you won't even know how it ended up on the other side of the room. i'm not saying it will do it automatically, you will do it automatically, you'll pull it out faster than you've ever moved in your life. or you'll be jabbing fast and you'll jab the nerve THEN pull it out. in either case, whether you got really close, or hit it, you will definitely know. there will be no doubt in your mind as to whether or not you hit it.
i have heard of oil getting too close to nerves and causing weird things based on the oil sort of 'encasing' the nerve, don't really know how else to describe it.