I've always inject through my clothes. My wife hates it, suggesting that it leaves holes and blood stains on my clothes. I took her to an appointment with my endo and she brought it up, hoping that my endo would "correct" my terrible behavior. My endo failed to criticize my behavior, leaving my wife terrible bitter about the whole thing. So I still jab the needle through my clothes.
The only issue I have deal with is that with clothes with a fine weave, apparently the fibers can clog the needle. So if I feel resistance, I remove the needle and try another injection site.