I have had my RE cancel cycle before for two many follies, but i don't think you should worry too much about having triplets. Just concentrate on getting pregnant first.
As for the shot, I have given it several times. I usually give it in the thigh. I can tell you that the needle going in is not too bad, but a couple of hours after giving the shot, there was always a welt, bruise and the muscle is really sore.
I wouldn't worry too much about the timing either, if your RE says it. it's all about being within the window, for the ovulation and the sperm.
Just stay positive and don't stress.
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Me: 34, PCOS, Single Mom to be
TTC: 3 years
IUI #1: 12/05
IUI #2: 2/05
IUI #3: 6/05
IUI #4: 7/05
IUI #5: 8/05
IUI #6: 9/06
IUI #7: 12/07
IUI #8: 4/08 ( ran out of sperm)
Couldn't give up...
IVF #1: 8/08
ER: 8/25/08
ET: 8/29/08
HPT#1: 8dp4dt 
HPT #2: 9dp4dt
1st Beta: 9/8/08 
Still deciding, but if I decide to continue...
FET#1:
9/11 CD1 
10/1 B/W
10/5 Start Lupron
had to delay b/c didn't show up in time
11/9 maybe Start Estrace
I didn't give up....
started Estrace like i was supposed to on 11/9
Continued Lupron until 11/25
Transfered two perfect grade 1 embryos on 12/1 (they were already hatching) 
12/8 First HPT 
12/9 Beta 145 ( Dr. says could be twins! yeah!)
12/11 Beta 314
It finally happened.   
My current Babies:
 Cubby 7 year old black lab, Jake 2.5 year old black lab, Tigger, 11 year old orange tabby
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