It is really not so bad at all.
I have had many steroidal epidural injections, and several radiofrequency neurotomies done without sedation. I even had a discogram just recently done, also without sedation.
It truly is nothing to worry about. They inject a local, so you will feel a slight "pinch" when that injection is done. Then you feel practiaclly nothing. If anything, I would liken it to the mildest of dental work. You're aware they are doing something, but you don't really feel it. As imshirl said, it's over 1-2-3. The relief I have always gotten from the procedure makes this all well worthwhile.
Go for it, and don't worry!