Progesterone Shots

This is my second baby and I am high risk for premature because of my son being born at 34w1d. We were very lucky with him because he was COMPLETELY healthy weighing 6lbs 1oz and was 19 3/4 inches long with no issues except for a little jaundice. With that being said my Dr told me with this baby I will have to take progesterone shots from week 16 to week 37 just to decrease my chances of another preemie....Has anyone had to take these shots and did the cause massive weight gain other than the normal pregnancy weight? Or any other issues? Im a little nervous about them so feedback would help alot, THANKS!