The advantages of a steroid shot are that it is quicker, requires no special instrument during the procedure, is less painful than incision and drainage, and does not require dressing. It is also more suitable for patients who are allergic to local anaesthesia.
However, a disadvantage of steroid shots is that many patients would require a second injection. In some cases of chalazion, such as patient with a lid inflammation (blepharitis), they may require multiple injections.
Possible secondary complications include ocular penetration, increase in intraocular pressure, visual loss, and skin pigmentation, especially in dark skin individuals.
If you are more comfortable with the idea of a steroid shot (as compared to an incision), do visit your eye doctor for a consultation, and discuss which treatment options is more suitable for you.