I have had the two varieties of birth, vaginal with epidural and caesarian with spinal anaesthetic, and with both a catheter was routinely used after the epidural/anaesthetic had just started to work, and didn't feel it at any stage with either (apart from a slight sensation when being removed).

My biggest fear with my last catheter was that my toddler would jump on the tubing and dislodge it or something, however the nurse assured me that it cannot become dislodged as it is held in like a little inflated balloon.