Hi A.!
I've done progesterone shots with both of my pregnancies...and this is what I've found works the best. Pull up the oil in the syringe and wrap the syringe (not the needle) in a hot towel and let sit for about 10 min. Heat up wet wash cloths in the microwave and massage the injection area for about 10 min prior to the shot. Then, swab the area with alcohol and inject. Reheat the washcloths and massage the area after the shot for about 10 min as well. Then, apply heating pad to injection site. My husband always did the washcloth massaging.
I had so much pain from those harpoon shots and a nurse told me to do this and it was so much better. She also had me alternate hips with every shot. She said all the heat actually helped the progesterone get into my system and not "sit like a lump" in my hip.
I hope this helps and I sure hope this IVF round is successful for you. Best of luck!
L. :)