I had it done by an excellent surgeon. He anesthetized the area before the injection, and I didn't feel a thing.
One weird thing that happened is that, when the cortisone hit the spinal cord, my right leg just shot up in the air. The doctor yelled "don't move!", but it was a reflex action.
I had really severe pain, but one shot made it go away (as long as I didn't stress my back). He wanted to do two shots, but I convinced him to go with half a dose on the second, as I was leery about liver damage from steroids, given the amount I drank.
Make sure you have something to eat before you go. This is an invasive procedure, and you'll be woozy. I didn't eat before the first one, and just about passed out when I tried to stand.
You'll need to take it easy the rest of the day, and after that it's back to life as normal.
It's a shame that Regolith's dad had the infection. I haven't heard of anyone having problems before this.