I've had both shoulders done twice and both my hips done and they were fine. They said the shoulders are supposed to be the most painful (not sure if that's right) but it was more pressure than pain really and they spray will cold stuff and put some anaesthetic in the injections.
I just try and relax and be as still as I can, as one Dr said during one, I could shout, scream, swear, just don't move :)
Good luck, hope it helps for you, the ones I have had have been brilliant while they lasted. The difference in my shoulders was amazing! Cupid, make sure they give you some exercises for after to make sure you can build up strength gently if you haven't been able to use it for a while.