I've travelled a few times with insulin, and my son travels with an EpiPen (for allergy). We've been stopped by security at airports in England, Hong Kong and Australia, coming in and going out, but the've always been satisfied with the prescription label on the pen. However, we made the mistake of telling one airline that my son has a severe food allergy, and since then they've insisted on a new medical letter each time he flies. This letter is not to explain the needles but to say he's safe to fly. I've been asked for a similar letter for flying when pregnant. We actually avoid that airline now, as once we moved back to the UK and got charged for each letter it seemed a pointless extra expense.
So my advice would be not to worry about a letter unless you've been specifically asked by the airline to provide one.
Kate