I've had two in my hip.
The first time was fine, but the pain came back.
The second time was fine initially, and then within 24 hours, my butt felt like it was on fire.

I think it's referred to as "steroid flare." Whatever it's called, I wanted to run outside in the dead of Winter and sit in a huge pile of snow.
Oh, and the pain came back.
Mind you, my Ortho is a big name in his field, so he's no schmo. He did his best to help me, and since I didn't need surgery, the only thing left was physical therapy.
I chose not to do PT. I started icing the area, which really helped. Now, after a few years of hip pain, the hip almost never bothers me. Sometimes I feel little tight, or it gets a little twingy. When that happens, I ice it again (I discovered it originates from my hamstring, so that's where I apply the ice.), and the pain is gone soon after.
I've had a shoulder problem too. Rather than do the cortisone shot again, I tried figuring out what irritated the joint. Eventually I narrowed it down to a particular yoga pose. Once I cut that out of my routine, the pain disappeared.
Any thoughts on what might be causing the pain? The shot may very well work, especially in conjunction with PT, but finding the source might be even more beneficial down the road.