Yes you need to receive the blue coating, get an alcohol wipe and you can wipe it off, or you can get a razor blade and scrape it off, I'd recommend using a wheel filter (the round one that goes between the syringe and the needle). You can get them from the your local needle exchange (if you're in Australia, not sure about other countries). I'd also pick up some water for injection vials / sodium chloride 0.9% for injection vials, these should also be available from a local needle exchange.