Are these the pens that make you do multiple priming shots before use?
Anyway, before you put the needle in you can move the dose dial around as much as you like, it doesn't have any effect. After you have attached the needle you are meant to check it isn't blocked, you do this by advancing tiny doses and pressing the plunger until you see droplets at the tip of the needle. Then, you set your dosage, stick the needle in and press the plunger all the way.
If you pressed the plunger when the needle was in and the pen was primed (you saw droplets) you gave yourself whatever dose you dialled up. You're doing it right, don't worry.