I am getting the shots for a similar reason.
My understanding is that there is good evidence that they help stave off preterm labor for other reasons and that there are minimal side effects; so even though there isn't a lot of research in using them to prevent pprom in particular the risks are minimal compared to benefits.
The risks are irritation at the injection site and fatigue, I believe. I am not sure if I am having any fatigue from the shot, or just being pregnant...
But, the irritation at the injection; boy did I have that!!
The first week I had no reaction, the shot itself stings a bit more than most other shots, but no big deal.
The second week it periodically felt like a bee sting a few times in the 24 hrs after the shot.
The 3-4th week it itched like crazy and one of them a huge bump, like a 6 inch mosquito bite came up. Somehow this sensitized me so every other spot I'd had the shot itched and was irritated.
I learned that compounding pharmacies can use 2 different oils, so if you are having a bad reaction they can maybe switch what carrier oil they use (I don't recall what the oils were.)
I did a lot of research to figure out how to lessen the reaction and tried a lot of these solutions, and whatever is working seems to be helping a lot:
-internal benadryl about an hour before the shot
-having the nurse hold it in her hands to warm up the oil before the shot (the oil is very viscous, and can take a long time to be absorbed if not warm)
-vigorously rubbing the injection site after the shot to help the oil be absorbed
-having the nurse wipe down the injection site after
the injection with alcohol (I think this is what's helping me, I read some other women having a problem with the oil being on their skin, for some reason that causes a localized allergic reaction.)
Since I've started doing these things I've barely noticed the shot, maybe slight irritation for the first 12 hours or so, but not enough that it even really bothers me, more like a bug bite or something.
The office I go to had never heard of anyone having a problem with these injections, but they have been happy to accommodate my requests, so it works for me.
Hopefully they won't bother you any more than getting a shot.
Here's to a long pregnancy!!