Hello again!
Sorry, I haven't been able to answer before...
4 mm needles should be OK - standard size. Try places where you have some loose skin, press your thumb and forefinger together, so you get a little bulge of skin between your fingers. Inject into the bulge of skin.
All the insulins, have different substances mixed into the solution, that you inject. Could be, that you are a little hypersensitive to one/some of its components. For example Zink is a substance, that is added to some of the solutions...
If the burning doesn't stop, you maybe should try to get another type of insulin, but with the same properties that you need - there are different sorts of insulins, and you could also combine two different, to get desired effects.
Hope your problem will be solved, and if some question comes to mind, then just ask...