progesterone shots

My doctor told me today I might have to have progesterone shots starting at 16 weeks. I thought my first daughter was born at 36.5 weeks but apparently she was born at 37.5. Do you think I'm safe and not having to get them or still maybe because it's close to the early mark? Either way I'll talk to her and find out but I'm just super nervous. I don't know what to expect from the shots and I hate needles!