SHORTENED CERVIX!!! Help!! Need all the feedback possible.

I just got done with my latest appointment to check on baby and me as well. The doctor tells me I have a short cervix measuring 1.87cm. All the measurements they've done prior to this have been longer, but continue to get shorter. She has recommended that I start on progesterone to build on my cervix. He did an exam with her fingers and said my cervix is closed, but she still wants to be cautious so now I have to go back Friday. I'm a FTM so this is freaking me out. She mentioned it's possible to go into preterm labor if not addressed. I'm incredibly nervous and the use of preterm labor frightens me. Anyone ever had this happen? If so, what was your outcome? I'm trying to ease my mind.