I had terrible lumps from the PIO. It's been 4 weeks since my last shot, and I still have a small lump on one side, but it doesn't hurt. I also had the delestrogen 2x/week, but I don't remember any problems with it. I did have some cramps around the time of my beta and for a couple of weeks after.
I posted this before to someone else, but if you start having itching and redness at your injection site, talk to your clinic about changing the medium for your PIO. I started with sesame oil and had to switch to olive oil. Even that started to make me itch after a while, but then I was nearly finished with the shots.