Progesterone injections

Sammy
My doctor has ordered that I take progesterone injections due to my last pregnancy. Although I can't say that I entirely agree with her. I had my son at 33 weeks but he also had other issues and the doctors expected him to come around that time. I'm all about doing what's best for the baby but I'm just not sure she is taking the circumstances of my first child into account. 
Has anyone denied progesterone injections recommended by their doctor?