While getting injected will always include a little pain, it shouldn't be too painful of a process. If that's the case, then you're not following the instructions. Sometimes, the oil in the progesterone injections can also accumulate in the muscle, causing small knots or bumps known as panniculitis. When applying the injection, follow the instructions carefully and store the injections properly. Keeping oil injections can also change how the injection is used easily or not.