TPM alluded to an important consideration, which is no throwing for a period of time after the shot. I've had a number of cortisone shots over the years due to injuries while practicing karate. I've had them in my heel (OUCH!), hip, knee, back, shoulder and finally in my elbow for 'tennis elbow'. After about five or six shots in different parts of my body over 4 yeras, I finally got smart and gave up karate and started coaching baseball more.
When I went to see the doc for my elbow, he initially didn't want to give me a cortisone shot, as he said that it weakens the tendons for a period of time. Later, when my son was in for a sports physical, they got to talking about baseball and son told the doc that I could pitch. So, the doc called me to try out for his 40 and over men's league baseball team. I went out and pitched, but the pain from the tendonitis was pretty bad, so the doc said I needed a cortisone shot. I was kinda puzzled, so I asked him why he'd told me no shot only a month earlier and now was advoacting a shot. His response was classic, he said: "A month ago, I didn't know you could pitch!" He gave me a cortisone shot, and put in more than I ever recalled with any other shot, then told me not to throw or do any heavy lifting with my left arm for ten days, after which I could resume throwing. It made a substantial difference for a while, and I was able to throw without pain.
If you have to get one, be sure to ask your doctor for advice on how long to rest before beginning to put a load on your arm again. You need to get this advice from the medical professional, not from the "internet docs" here.