Did your dr give you a tapering regime? The way spike suggested is a good way to wean off the supplements but you should always follow your drs direction. If you weren't given a regime, call and ask for one.
i would start to slowly wean yourself off, even if it takes a few weeks. i wouldnt go to long though and then all the sudden stop because that could confuse your body and you def dont want to cause preterm labor. I was afraid to go off too (was taking orally). I started to wean myself at 13 weeks and took like 4 weeks to do it and all went well. While I was weaning myself off I had my doctor test my progesterone after skipping a day to make sure that my levels were normal on their own. You should be fine but I understand your worry.
I stopped taking my progesterone at the end of week 12. You can start weaning yourself by taking it every other night for another week if it makes you feel better? I could tell my placenta had taken over by the 12 week mark so I wasn't concerned. I just felt a little more energy and less woozy. If that makes sense?