An RE would likely tell you that the most effective time to take progesterone, if needed, is before you even get a BFP--so right after ovulation. That is helpful to women dealing with IF already until monitoring, taking pills, etc., but not helpful for the average woman. Once a pregnancy is detectable, it is unclear if supplementation helps. Many OBs do have women take it if a level tests low as a preventative measure, but I don't know that it has been proven that "late" supplementation actually saves pregnancies. Also, many OBs have women take it for longer than may have an impact as a preventative. Apparently the latest research says the placenta takes over progesterone production by 8 weeks (the placenta is not fully formed, obviously, but it is functioning to a certain degree), though many OBs who have women supplement suggest it through the whole first trimester. We dealt with IF with with DS and I stopped at 8 weeks, per my RE and OB who follow the stopping-sooner mentality. As for pill vs. natural cream--in all honesty, the cream is not going to be a strong enough dose to help.
Given all of that, I'd say that if it has a physical benefit for your baby is debatable, but if there is an emotional benefit to feel like you've covered your bases, that has value. Only you can answer the tough question of if you had a loss which path might you look back on with fewer regrets. Different women would feel differently about either path--supplementing or not. There is no right answer, save for what feels right to you.
Good luck and I wish you a happy, healthy pregnancy.