I had the progesterone vaginal inserts and it was horrible itching and bruning for months. I think I might have been allergic but the doctor said it was just irritation.
I have had them this pregnancy and my last. They aren't too bad. A little sore and if not placed deep enough can knot up and itch. Otherwise I have never noticed any side effects and it's certainly worth it if it means carrying full term and baby being healthy. My husband has always done mine at home.
I did not have these but a good friend of mine did. Will you give your shots to yourself? It's totally worth it if it helps the pregnancy. My friend felt she was a bit more emotional than other pregnant ladies but I didn't personally notice that. :>) Congrats on the baby!