Sometimes happens as the needle can drag bacteria from the skin into the muscle. Massaging it can be helpful to bring it to a head (if it is going to abscess). This can get serious.. usually it does not.. but give your vet a call and ask. It has been quite awhile since the injection so that is a bit more concerning.
If your anti inflammatory cream contains prednisone or cortisone stop using it as it thins the skin. Instead try Absorbine horse liniment. Dilute with a little water, wet your hand in and rub. Keep wetting your hand. The friction will generate lots of heat.