Did you get it removed? I've heard a warm compress can help. Have you tried that?
Don’t know this for sure, but I think sebaceous cysts can occur on any part of the body. Normally I’d advise anyone with problems in this area to see a Urologist, but I think in your case, it might be best to consult a dermatologist. I’m thinking whatever treatment they use for cysts in other areas would still apply in your case. Please let us know how things turn out...