Pregosteron shots to help preterm labor

Danira • Mom of one and waiting for another one to arrive! Happy wife, perfect husba! Life is amazing, enjoy it to the fullest!
With my first baby I had placenta abruption and I started contracting at 28 weeks and started labor at 30. Baby was born at 34 weeks. Doctor is encouraging me to have the pregosteron shots to help prevent preterm labor again. 
Anybody else had to have the shots?  I am not at that point yet since I am only 14 weeks. Doctor said I will start at 16-18. Any thoughts, experiences, advice? Do they hurt? I am a chicken for bum shots (don't judge haha). 
I did had the steroid shot with my first pregnancy to help mature the baby's lungs and they hurt like a mother load, two doctors have said they don't hurt as much as those, fingers crossed!