I had one course of steroids when I was 27 weeks (twelve hours apart) as I had a leak in my waters and was admitted to hospital. Thankfully I didn't need to deliver and the leak repaired itself. I got told when I went for a scan at 32 weeks that my baby's lungs are very mature so I guess that's a positive in having them done. I'm sorry to hear they hurt, to be honest I actually felt the same way. The first one was in my right thigh and it REALLY hurt, I even bruised. The second one in my left thigh didn't hurt as much initially but it was itchy and sore afterwards....But it's worth it for peace of mind that should something happen your little one will be better prepared (that's how I looked at it) Good luck!!