Not sure if I agree with my doctor

My first son was born at 33 weeks at 3.9oz he's now 5 healthy and doing great I am 15 weeks now with my 2nd and last child my doctor wants me to take Progesterone shots once a week,the side effects are wow,and I feel like my body was under a lot of stress with my first child bc I was in a stressful environment. I would like to try and do this on my own with out medicine.There is no signs that this baby isn't developing like he/she should or that I'm having problems either...I was just wondering if anyone has heard about this shot?