I would think about it. I could totally see it going either way. The first one being early does increase your risk for another preterm baby. I have recently heard that there is an increased chance of PPROM in those who have had irritable uterus (lots of BH), but I have yet to research this. The steroid shots absolutely have benefits for a baby born early enough to have breathing problems. Most people in PTL feel that the benefits far outweigh the (quite small) risks.
OTOH, I also question why your provider feels you are going to deliver early. Are you having cervical changes (dilation, effacement, funneling, loss of mucous plug)? Have you had a positive fetal fibronectin test? Does something else just not seem right?
I asked the last question because when I was in the hospital, they tried for 3 days to stop my contractions and even though I wasn't having much in the way of cervical change and a negative fetal fibronectin, they could never get my contractions to stop, just spaced out to 8-9 minutes apart. based on this and my previous history, we opted for the steroid shots.