You're talking to the queen of injections here, although I think I've got lots of competition on this forum! LOL Yes, I've had SI joint injedtions, and they're about the same as epidurals, facet joint injections, etc., except they're in the SI joint. They are actually the one injection that did help my pain - at least the pain in my buttock. My PT is also always putting my SI join back in place, and I do exercises to tighten the ligaments and wear an SI joint belt, but that darn SI joint won't stay in place.
I think it's worth a try. Have you had any other injections? Then you'd have a pretty good idea. You do want to get a doctor who does a lot of these, uses flouroscopic guidance, and most (at least mine) give you a slight local injection before they insert the needle deeper with the steroid. Now I've heard there are some newer kind of experimental treatments where something (it might be ketamine, but I'm not sure) into the SI join to create inflammation, which hopefully creates scar tissue, and holds the joint in place. I'm not going to go for that one - at least not unless it's proven over time. But I would consider going back for a regular steriod (I think that's what was used) SI joint injection. I really don't find the injections painful; at best a little uncomfortable, if you've got a good doc doing them. Then the spot is sore for a couple of days but I just put ice on it.
Don't know if this helps. If you've got more questions just ask!