Anxious as Always

Okay so I regularly have sex w my boyfriend & i started the Shot as my method of birth control almost a month ago... my gyno said it would work right away due to the fact that i got my injection the last day of my period, so obviously our sex isn't protected (condom wise) but he pulls out every time, he pulls out sometimes even when he doesn't cum... I get really anxious sometimes bc i don't get my period at all but my gyno said that it's normal... i've been thinking of taking a pregnancy test just in case & to buy a pack just to have in case of any scares... but for the ladies who are familiar w the shot can you calm me down? & tell me that not getting my visit from aunt flo is totally normal & that i just need to stop over thinking....