M.R.
Yes, take it. I had to take it with both my pregnancies and have two normal (well, relatively speaking LOL) boys. The only issue I had was that it made me feel a little woozy so I started taking it before bed instead of first thing in the morning.
(You probably already know this but...) The two main female hormones are estrogen and progesterone. Estrogen is for the development of the ovum and progesterone is for the development of the placenta in case of a pregnancy (pro = for, gesterone/gestation = pregnant). In a typical menstrual cycle, if pregnancy isn't detected by the body the progesterone levels drop and a period happens.
It is likely that your miscarriage was due to your body not making enough progesterone to support the development of the placenta to nourish the baby. The low levels of progesterone told your brain "Hey, she's not pregnant - get rid of the lining of the uterus" even though you were indeed pregnant, and you miscarried. Because your body isn't doing it's job on it's own, then you need to take a supplement in order to sustain your pregnancy.
Good luck, congratulations, and don't worry about the Prometrium :)
You will probably only need it for the first trimester. Even though you may stop taking it then, it won't trigger the typical 'progesterone withdrawal' and initiate a period because there are so many other hormonal/chemical clues going on in your body that will tell the brain that you are pregnant.