Nervous!?!?!?

Starting this coming Tuesday I will start Progesterone shots to prevent early labor since my last pregnancy I went into labor at 33 weeks and needed magnesium to prevent it baby ended up coming out at 36w4d, I ended up getting a new doctor for this pregnancy since my moved a couple years ago, but I’m nervous never gotten these types of shots and I will be getting them once every week, has anybody gotten these shots? I’m nervous since this is a new doctor and I don’t know much about these shots?