My SIL had to have progestrone shots throughout her 2nd pregnancy due to almost going into preterm labor with her first at 26 weeks. She was on complete bedrest from then until 38 weeks when she delivered her 1st. With her second while having the shots she was able to work until she delivered at 38 weeks.
I had progesterone orally with my 3rd son. I started to miscarry at 9 weeks, and the doctor put me on progesterone. I had no problems, and had a healthy 8lb 12 oz baby boy....who is now a 19 year old college student!!