Progesterone shot...HELP

I am wondering if any of you have had the Makenna Progesterone shot with any pregnancies. I went into labor at 32 weeks with my first son but held off until 36weeks with bed rest (he was also born with a heart defect and had surgery at 1 mo.). My new doctor this pregnancy is asking me to start the Makenna shot once weekly from now (16w) to 37 weeks to try and carry full term. I really hate using any meds or anything while pregnant and did all natural birth with no meds the first time. Do any of you have experience with this shot?! All the help I can get is much appreciated!