Itching at the site of injection is common.  Whether or not to treat this problem depends on the severity. If it is minor and lasts a few hours it may not be necessary to do anything.  For some people antihistamines work, topically (skin) applied steroids have been tried prior to the injection at the injection site, but there is limited evidence that it works.  For some people, it is a reaction to the plastic surrounding the needle or any dressing applied and changing these may help.  Finally if very problematic you may need to discuss switching products, since it may be one of the stabilizing agents that you react to. Do report any problems to your health team.