Good luck to you! I hope it gets you to term too!
I finished getting Makena injections last week... 21 in all, tomorrow I'll be 38 weeks... My first child was born at 25 weeks, so, for me, it worked....
Sometimes I got some irritation at the injection site... Sometimes it was itchy, sometimes it burned, sometimes there was a little knot under my skin (as you describe), someone's there was no reaction at all.