Has anyone had early deliveries and rejected the progesterone???

Lisett
I had my first son at 34 weeks and my daughter at 36 weeks. My OB Gyn says I should get a progesterone shot every week to make it to the 40 week mark with this pregnancy. But I'm really not sure... my husband tells me no and so does my mom. I mean both my kids were at 5lbs and they were both healthy. I just want to know has anyone rejected the progesterone shot??