High dosages of oral corticosteroids taken daily for prolonged periods of time can have serious systemic side effects including bone loss ( osteoporosis), increased risk of infections and diabetes and cataracts, thinning of skin, stretch marks, increased facial/body hair growth, acne, fluid retention, weight gain with redistribution of fat (fat deposits on back and face, thinning of limbs), muscle weakness, decreased resistance to infections, stomach ulcers, mood swings, insomnia, suppression of the body's own production of cortisol, etc.
I went into preterm labor at weeks and had two rounds of steriod injections to help my boys' lungs develop before they were both. Doc said I needed 48 hours for the shots to be the most effective and I lasted long before delivering - neither boy needed any breathing assistance their entire stay in the NICU.
At 28 weeks we discussed getting them, but at the time the only sign of preterm labor I had was a shortening cervix so they decided to hold off b/c the Dr said the shots would be more effective closer to delivering. Sounds like they're concerned about you delivering early - that would be the only reason to get the steriods.