Anyone have experience with the progesterone shots to prevent preterm labor?

My first child, now 3, was born at 24 weeks. I'm now 15 weeks with my second and scheduled to start the progesterone shots next week to hopefully help prevent preterm labor again. I'm terrified of needles and so nervous about these shots. I've heard they are quite painful. Obviously, it's worth it to me if I can carry this one to term. But has anyone gotten these shots? How bad are they? Any side effects? And did you get further along in your pregnancy with them? Just trying to mentally prepare myself.