I've had them in both shoulders, one it really helped, the other it didnt. The injections' pain was minimal since they froze the site prior to the injects.
Then I had them in both knees, helped the pain, but the doc warned me I could not have but a few due to the potential weakening of tendons. Well, the knee pain went away, such that I was able to squat again, working my way back up to sets of 8 - 10 with 405lbs. It was great to be able to squat again, with some actual decent weight. About a month back into squatting, my second set of 8 reps in the cage, on the ascent on the 4th rep, my right knee snapped, then immediately my left snapped .... both quad tendons tore in half on the patella, earning me a trip out of Golds in an ambulance and reparative surgery the next day, and 2 full leg casts for 8 weeks. Not saying the cortisone caused the damage, since I had just finished off a round of strong antibiotics (levaquin) which also can cause tendon damage (I didnt know that at the time), but the combo could have contributed. At a minimum, the reduction in pain from cortisone could be masking a real injury that could lead to something worse.
I'd exhaust all other means before doing this.