I am not aware of any studies, but make sure the injections are going into the subcutaneous tissue (see our website section on injection technique).
Proper subcutaneous injection technique
I did an experiment, I am on enbrel for 3 months now and was getting a reaction at the site each time, so for 4 injections I pressed the auto injector down into my thigh a bit harder and notiiced no reaction at the site, it bled a little but that was all. So this past week I let up and did it with a lighter pressure and low and behold got a reaction. My question is do you think when it goes in a bit deeper it keeps it from pooling in the upper dermis and irratating the surrounding tissue? Has anyone looked into this?