Prevent Miscarrying

I've had two miscarriages within the past 7 years (0 children so far). My DH and I are ttc again. I've heard progesterone shots might help me. How do I know if I need one? What if I'm already pregnant, is it too late for me to get the shot? We just moved to a new town.  I don't have an OBGYN yet. What to do...