Progesterone shot

I got a call from my doctor this morning and they want me to start on weekly progesterone injections until I’m about 37 weeks. I am currently 22 weeks but had went into premature labor last year with my son at 17 weeks and he did not make it. I had an ultrasound yesterday and my cervix looks good and is closed this is just for an extra precaution. Has anyone had any experience with the shot for their rainbow baby? I’m nervous especially after reading all the side effects