I have never had sedation for my SI joint injections. If you do, you have to bring a driver.
Yes, it hurts a lot for, as you say, a few seconds - just "Ow,Ow,Ow" a couple of times, and it's over. It hurts more for a few days afterwards too, just like any other steroid injection, but I don't think the sedation would make any difference to that. In my case, I cannot see any reason to have sedation. There have been times when I have had more SI joint pain than the injection causes just from putting a foot to the ground, and that was for every step. A one-off few seconds seems ridiculous to medicate for to me, but everyone is different, and if you have a phobia issue maybe it would be worthwhile.
I have found the injections to be very effective, and since having them, even after the effect has largely worn off, I haven't been getting anywhere near the same level of SI flares that I used to.
Good luck with it, whatever you decide