How should I get rid of my chalazion? I am too scared to do surgery and it is fairly small.

On the other hand, chalazia do not need to be surgically removed unless the appearance bothers you.  Having said that, I would recommend the steroid injection.  This can melt the last bit of the chalazia.  Ask you ophthalmologist if he or she will do this.

The treatment for all chalazions initially is warm compresses.  If the chalazion persists, you can see an oculoplastic surgeon for a steroid injection.  Only if these don't work should you consider a surgical excision.