I've had three in my tailbone (I have coccydynia). Hurts like hellfire for the first 2 days, then slowly tapers off until it actually starts working. The first one worked wonders for the first six months, then stopped like someone hit a switch. The second one did nothing except hurt. The doc wanted to try again, I told him to take a hike.
The third was done by a spine specialist, under fluoroscopy in the hospital (so he could see exactly where the needle was going into the joint). It worked pretty well but since then I've had other, more serious medical issues to deal with and don't have time to worry about minor things like chronic pain.