I take it you are talking about "aspirating".
Yes, it is a very important thing to do everytime you inject. It will ensure that you are not going to inject into a vein or artery.
All you have to do is; once the pin is in to the desired depth, pull back on the plunger a little, you will either see air bubbles or blood.
If you see tiny air bubbles, you are good to go, but if you get blood in the syringe, you must pull out and find another place as you have hit a vein or an artery.