Hormone shots to prevent pre/Term delivery

My first baby was premature at 33 weeks, there were no complications during my pregnancy, my sweet Eva was delivered by C-section because she was breeched. Dr. Said that there is about 50% of unknown cause of preterm labor. I recently found I'm pregnant with our second baby and when I when for my first office visit Dr. said that I should start hormone shots at 14 weeks. Usually when you have a pre term pregnancy you have a higher change that any pregnancy after will be even be more premature. I consider myself a healthy woman, i exercise and I well, so I can't avoid to worry about the consequences of these shots. Has some gone through the same???