There is a technique that I use that is pretty effective at not letting air into the pen. Following a recent discussion on here regarding the fact that the needles are supposed to be single use, I decided to start disposing the needles after each use.
The instructions that come with the insulin state that to remove the needle you should put its transparent case back over the needle and unscrew it. Doing this doesn't seen to let the air in. What does let the air in is putting the small needle cover back on the needle. When it clicks down it forces some air into it.
I've probably not explained this very well but, following the instructions in the insulin pack for needle removal seems to work well!