I was pregnant 3 times and only had similar hip pain with the last pregnancy. I never had to take shots. I learned that this is fairly common issue because the muscles and ligaments loosen and stretch to broaden your base to support your ever growing belly. So good news is, it's normal. The bad news is, you kind of just have to deal with it.
I did find that walking helped me tremendously. There was something therapeutic about getting moving. I too never found a comfortable sleeping position even though I owned a full body pillow and used tons of pillows between my legs, under my hips, etc. to try to get some sleep. I did find that that when laying on my side it helped a bit to support my waist - I'd put a pillow under the sway of my waist (between my hips and shoulders) and then a small one under my belly (in front of me) to help support the baby.
So know that it's normal and that at some point, it will pass and you'll sleep better (until the last month!). LOL