Progesterone Supplements

Lindsey
Hi! So I am 4 weeks and 5 days pregnant. I had a miscarriage back in November 2016. I had my first doctors appointment today just to do blood work and check for any tenderness or anything. My doctor suggested a progesterone supplement (that you insert into your vagina,) and I was wondering if anyone else has/is taken it. 
She said we could wait to see what my levels are, but it wouldn't hurt to be on a small dose just to make sure it stays at a normal level throughout the first trimester. 
Anyways, I would like to know your experiences with this. Side effects? Pros and cons.