Yes, I've had many epidurals for sciatic pain and many times it did help my pain. It pretty much helps all the nerve pain and also the stiffness in my spine. However, I have such problems when the steroids wear off. When they wear off, my nerve pain doesn't always come back in the same spot, but I get all sorts of other symptoms in a flare.
You should make sure the injection is done under guided fluoroscopy (which is a live x-ray) so that the doc can see exactly where the needle is being placed. Also, it is very common for you to have exacerbated pain for 1-2 days after the shot, when the anesthetic wears off. But then again, there is no guarantee that it will help your pain, but it's worth a shot.