Hi Ina,
Well...ouch!
As far as I can make out, EMGs are performed to find out if there is actual nerve damage. As a diagnostic tool, for RSD, they only serve to rule out identifiable nerve damage possibly attributable to a different physical disorder.
Since they're painful, and can cause scarring, I too would be very cautious; I presume, since you have already been diagnosed with RSD, you yourself suspect an additional complication with the nerves, not necessarily part of the RSD condition.
So...yes, I would go and talk to the neuro, and make up your mind after you've discussed it thoroughly. You need a crystal ball, really, don't you

- if the test draws a blank and doesn't affect the RSD - well, great. If it finds something and doesn't affect the RSD - great too, kind of, because there's something definite to work on. But if it draws a blank and does affect the RSD - well hotdarn!, to put it mildly....
Good luck tomorrow with whatever you decide to do - and make sure they protect the RSD areas as much as possible if you do the test
all the best.