Hi there- I too was only diagnosed with PCOS after years and years of symptoms!
I had a HSG done last year when going through fertility treatment.
For me it was painful- but nowhere near as painful as I had expected. I had it done at a general x-ray place by a male doctor- but the two ladies assisting were just wonderful. Very caring. The only advice I can give you- take a couple of painkillers before you go- and try to get someone to drive you. I was a little woozy after- not sure if it was the painkillers though!