C.C.
Hi! I went through the fertility process and had to use the progesterone sups too. They are pretty much harmless in terms of side effects (although the side effects often mimic pregnancy symptoms so be aware of that). The only bad thing is they are really gross when the start to melt. Which is pretty much as soon as they're inserted. Use a liner and be prepared to feel goopy for the first half of the day. The second half of the day is usually better. I had to use them at night time too and just follow the same advice....wear a liner.
Just to let you know that fertility treatments work, I have a 3 year old daughter and a 1 year old son. Both the products of IUIs. Hang in there! It WILL work!