Site reactions are the most common side effects to C, but they often go down with time.
I miss C, and I was on it for two years. It was really good to my MS, but I had some rare issues with the immediate post injection reaction that caused them to yank me off of it. So I guess you could say I had a love/hate relationship with it, LOL! But I'm a med sensitive person, so I get a ton of wacky reactions to things.
We all react to the meds differently, so being nervous about switching to a new drug is understandable.

But as Dej said, it's often worth a shot. Best of luck!