From the surgeon's point of view, what I have been taught is to give the injection mixed with a local anaesthetic. The injection itself is very painful, but if the anaesthetic takes the pain away straight away lasting for about 1-2 hours, then you should find that the steroid part is very effective over then next few days to a week. I've treated a lot of very sceptical patients with good results. However I don't think there is very much evidence for it's use in shin splints, if you have a specific tender spot it may well be helpful.