My husband had Plantar fasciitis, he tried everything, but the only thing which worked for him was acupuncture.
I have had lots of steroid injections over the years, hands, thumbs, shoulders, hips, feet and I can honestly say they haven't been too painful. It could be I just have a high pain threshhold.
I also think it depends on the professional who is giving the injection. With some injections, I have hardly felt a thing. Often, I'm given a local anaesthetic first, which obviously makes it less painful.
Good luck, I hope you get some relief soon.