The Z-Track method is the best way to avoid leakage. It can be a little overwhelming to add something to your injection routine, but it's really simple to do.
This video shows the basic technique. (The video repeats itself after about four minutes so it's not as long as it looks.) I skip a few of these steps and use more of a twisting/pulling method, the way I was taught, but it's essentially the same.
Basically, you want to pull your skin back about an inch before injecting. When you pull the needle out, let go and the hole from the needle will be obstructed, limiting the amount of leakage. This video also shows how to hold the syringe w