I had three rounds of steroid shots. The first one lasted over a month. The second one lasted almost 2 weeks. The last one did nothing at all...actually made it feel worse. At first I had swelling in the same area as you. Mine began with tendonitis and the first round of steroids helped alleviate the swelling. After the second round of shots (and after 5 months of overall treatment for the tendonitis), the swelling was gone, but the CuTS symptoms remained. After shot #3 did nothing, my doctor said they expect to see about a month of relief from the shot. If less than this or none at all, it points toward nerve issues rather than inflammation of tendons, muscles, etc.
Although the shots were no fun, it was worth it to me because it helped assure me I had exhausted my choices.