Hmm. I guess I have never considered it hard for the horse.
It's more difficult mentally than it is physically. You're asking your horse to think and move its feet in a way that isn't typical or really all the natural. Also, it does require different muscles and concentration than the horse is probably used to using. So yes, it is hard for the horse, and can be frustrating for them at first.
It just so happens I was working sidepassing today with Spot. So I'll let you know what we worked on! :)
First, you want to be sure you can actually control the horse's shoulders and hips. It's so much easier to teach the side-pass when the horse can turn over its haunches and over its forehand when asked. Practice a few circles on the forehand (moving the haunches around so that the back legs are crossing over each other and the front end stays stationary) and on the haunches (rear stays stationary and front legs cross over). Once you've got those down pat, move to a wall or fence and do as tinyliny described. By the end of mine and Spot's workout, I could stand facing him and tap the butt of my whip against his barrel and he'd step over.
Keep in mind it's harder for a horse to bend in the direction it's sidepassing.