How deep should I be injecting?

I just took my first dose using the single use vials and syringe-needle that was sent from Lilly direct. The needle is 31 gauge and 8mm. No medicine leaked out and there is no pooling under my skin, but I’m not sure I inserted it far enough. With this length of needle is it ok to put the entire length into my skin when injecting? It was in my thigh if that matters. Thank you!