I trained myself to do intravenous injection on live mice. However, on anaesthetized mice you don't see the flux of your product showing that your injection was successful. In the same way, on live mouse a slight back pressure can be used to pull blood into the syringe to confirm proper placement in the vessel before injecting. On anaesthetized mice, I really have difficulty to obtain blood. All my following experiments rely on this injection, so I really need to be sure that the injection was successful and I have no choice that to do the injection on an anaesthetized mouse. Of course I warm the animals before injection to dilate the veins but I don't know how much I can warm an anaestethized mouse. I thought to put a catheter before anesthetization the mouse but I don't know if it will stay in place until the mouse is anaestetized. Do you have any tips?
Cleaning the tail with ethanol is of some help and also, as you said, warming the tail. We sometimes put one of those flexible lamps (such as this) to heat up only the tail.
When anesthesized (ketamine/xylazine or isoflurane) we keep our mice on a heated pad anyways.
Cannulation in the tail does not sound like a good idea to me, especially if you are going to have the animal wake up afterwards. If you're going to cannulate then go for the jugular, but be aware that doing it on a mouse requires quite a bit of experience and it's definitely way longer than a tail injection.
It really depends on your experiment