Don't panic, it does happen sometimes and is just one of those things - you've just nicked a small blood vessel.
I think the consensus is to change the set if you see blood in the tubing. I've only ever noticed it after taking a set out, but on those occasions have tended to see bruising where the site was inserted. As the pooled blood can interfere with the insulin absorption, it makes sense to move to another site if you notice it happen to you.