Ask your vet what kind of side effects a cortisone shot would give. I know that with oral corticosteroids, you can have issues like excessive thirst/excessive urination, weight gain, etc. and you can only use them for the short term or they cause serious metabolic problems.
Has he had a blood chemistry panel done? Rimadyl is helpful for many dogs for pain relief, but it is hard on the liver, so you'll want to know how his liver is functioning right now. If his liver isn't doing well, you probably want to look into other options.