Progesterone Treatment

So in the past 3 weeks I've been getting progesterone shots to prevent any premature labor. My last pregnancy I lost my baby due to giving birth at 6 months. My son was too small to survive he was under a 1 lb. This time around I have to take these painful (maybe I'm a bit dramatic) injections in my ass to prevent premature labor. Has anyone been treated with progesterone and how sufficient is it from preventing early labor? What side effects did you guys have?