What happens if you accidentally inject yourself with air instead of insulin?

High sugars. If you inject air that means you may be underdosing your insulin.
Not Much. You would not get the full dose of insulin. Unless it was a small bubble replacing just a little of the insulin, you should call your doctor for further instructions, which will depend on your Insulin sensitivity, what kind of Insulin was taken, and how often you normally check your glucose level, and take insulin.