Some areas are more sensitive than others and there can be some redness or swelling the in the area, but it goes away. Some breakouts could occur, and amount of scabbing is minimal if the person performing the procedure is gentle as well as qualified and sanitary. Your electrolysist should be using a disposable probe, or at least a probe that's used only on you. Emla can be used to numb the area before having any waxing, laser or electrolysis treatments. If you place a piece of saran wrap over it, it keeps it from wearing off or drying up.
Exfoliation is great for many purposes.
You'll have softer, more dewy-type skin without looking dry and ashy. Especially on elbows and knees. They reveal a fresher newer skin. If you've never done it before, don't go to extent of overkill. Try a gentle daily exfoliation instead of sandblasting your body at once.