When we put down our pony she pretty much went down right away. There was some twitching from residual nervous signals, but we're almost 100% positive that she was dead before she hit the ground, and if not, the person we had take the shot did two more right after she fell to make sure she didn't suffer.
As far as I've heard for sedation, that depends on the vet, but if you'd prefer euthanasia by injection, you can always specifically ask for sedation beforehand.
Okay, thanks for the clarification! I just assumed (which I shouldn't have, but I was much younger at the time) that sedation would occur and I had though I had made it clear that that's the route I wanted to go. I guess in a lot of cases gunshot may be much more humane.