I've had three cortisone shots in my left foot for PF lately. After the first one, I had total relief for five days. The inflammation went down, and I thought I was cured. Unfortunately, the pain came back. Shot #2 and #3 gave me no relief at all. My mother's PF was cured in one foot with one cortisone shot, and her other foot was cured with two cortisone shots. I understand that one of the risks of cortisone shots is rupture of the plantar fascia. I've never heard of infection risk with a cortisone shot. They rub your foot with alcohol before they stick you. If you get the shots make sure they use freeze spray to numb the area first. Even with that, the shot is quite painful.
I hope you feel better soon!