Do you have any experience with sacroiliac joint pain and/or corticosteroids?

I’m looking to treat the pain in my sacroiliac joint (near the hip), and it looks like the most effective thing would be corticosteroid injections or taking the steroid orally. I’ve read that these injections hurt like hell.
Can you tell me your experience with either of these or that of a friend?
If you have any info on the price of the steroids, that would be great as well.