Pixel22,
From WebMD: "An electromyogram (EMG) measures the electrical activity of muscles at rest and during contraction. Nerve conduction studies (NCS) measure how well and how fast the nerves can send electrical signals."

The EMG and NCS (commonly done on the same visit) will determine whether you have neuropathy in the large nerves, typically in the leg(s). In the future, a repeated test can determine whether the dysfunction is getting worse, or if you are fortunate, better. These tests are a measure of your condition, which doctors understandably like to see. These tests do not measure operation of small sensory nerves near the skin, so if you only have small fiber neuropathy, these tests will be normal, as in my case.

I found the NCS to be no problem at all. They place sticky electrodes on the skin and pass some current through them. If your skin is very sensitive, I suppose this could be unpleasant. I did not like the EMG at all. They stick needles into the muscles in several places. It was not a horrible pain, just unpleasant. Just as with anything you are afraid of but have to do anyway, try to relax by breathing deeply and try to think about something else. If the practitioner can put you at ease, this will help. Good luck with it.
Ron