I have been massaging right after but I started to massage for longer and more vigorously like suggested. I feel like it is working!! Not as painful!!
I am also doing progestrone shots daily. My nurse said for me to ice before the shot to numb the area and after the shot to make sure I massage the area and then apply warm compress. She said if I develop knots then I wasn't absorbing the progestrone. Good luck and I hope the soreness goes away for you.
Be sure the progesterone in oil is kept at room temperature, and massage the area immediately and vigorously after giving the shot. That allows the oil to spread out a bit. Take baths a lot, and you can also apply ice for the soreness. It does take a while after a good long round of progesterone shots for your hips not to be sore.