The larger the gauge the needle trip, the smaller the needle tip will be.
For example a 25g needle will have a much smaller needle tip then a 22g.
Although you can do steroid injections with a 22g, it's a pretty big tip and it'll cause you quite a bit of post injection pain.
A 25g is the perfect size for a steroid injection. It'll slide right into the injection muscle and cause very little post injection pain.
Use a 18g or 20g for withdrawing the oil the from the vial and use a 25g 1' or 1.5' for your injection.