Hi Teaandchocolate, I'm sorry for your loss.... there are unfortunately a lot of us who understand how you feel.
Just to make sure you (and anyone else unfortunate enough to be reading this thread because of similar circumstances) know the 'facts', the NHS will also test 3 non-consecutive miscarriages if the mum is over 35 (speaking from experience, here). I had a mmc, DS1, mmc, mmc, and now have 2 week old DS2 after investigation by the recurrent miscarriage clinic (RMC) at St Mary's in central london, on the NHS (is europe's leading RMC, so not a bad place to start if you're anywhere nearby).. Please do bear in mind, though, that even if you feel that it's more than just 'unlucky', sometimes they don't find any reason (they didn't for me, so there was nothing to treat, I just had to hope it didn't happen again). Having said that, statistics show that a mother under care for recurrent miscarriages has a better chance of a live birth, even if there is no medication / treatment involved. My girlfriend was tested privately at the same clinic, after (DS1 then) 2 miscarriages and is currently 7.5 months pregnant and all well.
I highly recommend reading Lesley Regan's book "Miscarriage: What every woman needs to know" while you're thinking about testing - i read it in the wait for my appointment (need to leave 6 weeks between erpc and start of testing for hormone levels to settle), and really appreciated knowing what was happening, and what tests were going on, and the likely outcomes... (and Professor Regan happens to be the dr i saw there too....).
Re the progesterone, there's opposing thoughts; some drs say take it, others say that by the time you know you're pregnant, it's too late to take it, and like shutting the gate after the horse has bolted. St Mary's is currently doing a major (blind) trial on their patients to see if it actually works or not (I was on the trial, but don't know if i was given progesterone or a placebo, but suspect it was progesterone).
Best of luck, our thoughts are with you...