I went into labor at 33 weeks with my twins and while at the hospital, my doctor tried to stop the contractions and gave me steroid shots (2 shots). Three days later, I had my twins and their lungs was perfectly mature. They were able to breathe on their own.

As far as baby being born early because of the shot, I have never heard of that. Doctors usually give this shot when they think you'll deliver too early for baby's lungs to be mature.

Clearly your OB feels there is a significant risk of pre term labour, or he wouldn't be giving you the steroids. 

What the steroids will do is mature the lungs as quickly as possible.  Now that is a good thing, but it does mean that other areas of bubs growth will slow down as a result.  Your baby will not put on as much weight or grow as much in length but that's ok for now.  It is maturing the lungs that is important right now, once they are, then the other growth areas will catch up.

the steroid should not bring on pre term labour, though how can we really know?  If you go into pre term labour, odds are, you were going to anyway.

Try and rest as much as you can.  Keep your feet up and no heavy lifting.  If you excercise, now might be a good time to stop.  all these will help to prevent pre term labour.

i had a celestone steroid injection at 25 weeks with my first pregnancy for a threatened pre term labour.  the drug itself is only to mature the lungs of the baby prior to birth and will not be the cause of an early birth.  it sounds like your OB may suspect you to be at risk of pre term labour to want to mature the baby's lungs prior to you going into labour.  i ended up going to 36.5 weeks with my first pregnancy (twins) and all was fine.