The first sign of any blood infection is a fever and usually blue or red around the area of infection together with a dull throb. But as stated above it can vary depending on the severity of it and what you got it from. Whenever you suspect you have something like that always seek medical attention.
It depends what blood infection? Sepsis - you could have a high fever, accelerated heart rate and respiratory rate. Bacteremia - chills, nausea and vomiting, and a rapid heart rate.