I had a large sebaceous cyst on my back (about 3cm wide) for about 20 years and it was fine until it became infected. I went to the doctors thinking he would give me some antibiotics but instead he just removed it

He gave me a couple of injections around the cyst and cut it out leaving a big hole and I didn't feel a thing. I felt some tugging but no pain at all.
But I did have to go back every day for a couple of months to have the wound cleaned to get rid of the infection. They did that without any anesthetic and it hurt like fuck.
I think if your cyst is not infected then you should have no pain, and it's probably a good idea to get it removed in case it ever does get infected.