Thanks All, for the comments and suggestions. I am not too worried about it, just want to make sure I'm not doing anything wrong. It sounds like I'm not, which is good!
Gollie, you are correct, the Rebiject is for Rebif. I do ensure that I pull the cap off straight, so as not to bend the needle. I use the highest setting; at least I think it's the highest. The one that goes the deepest into the skin. On Rebiject the settings are 1 - 3. I use 3.