I had one today (34 wks) and also had one when I had my threatened PTL scare at 29 weeks. I was asked if that was ok and they explained why they wanted to do them and I had no problem at all. Because bub would be prem if born now, the dr just wanted to see if these contractions were making my cervix do anything at all - basically we were all hoping it was long and closed! And closed it is! I felt pleased at the end of it actually!