What should I do???

My husband gives me my Makena shot( progesterone shots) in my arm they are to help with premature labor and I’ve been getting them for 8 weeks now but I got mine yesterday and my arm hurts so badly, pretty much from my shoulder to my elbow, and usually by the next day it’s a bit sore but I’ve tired icing it and Tylenol and nothing helps it kinda burns and hurts really bad, also is hot to the touch and had a bump on it,is this normal? First time experience this and I’ve gotten it a few times now,any suggestions what I can do to help with the pain?? Should I call my ob doctor??