Progesterone Shots

I am currently 18 weeks pregnant and my dr has recommended progesterone shots. My 1st daughter was born premature at 33 weeks. Due to an earlier ectopic pregnancy, my babies are always delivered at 36 weeks. I have had 2 sons since my premature delivery and they both went to 36 weeks with no problems and no shots. My previous dr never even recommended them for either pregnancy. My question is... Does anyone have experience with this type of situation? I just don't feel like they are necessary since I've carried 2 babies since my preterm delivery to my 36 week deadline. I'm trying to get all of my facts before deciding on taking the shots. Any input is appreciated!