If you tend to be panic prone, then by all means ask for sedation!
Personally though, I don't want it! I find it relaxing to watch the fluoroscope screen. I've had years worth of spinal injections, some of which worked and some which didn't, and they all hurt, despite local anesthetic, to some degree. Some hurt a lot, but those were the ones that worked the best. My caudal has been the best!