How bad is a gum graft? Is it better to be awake or asleep during it?

It's always better to be "out" for any kind of gum work. General anesthetic would be preferable, but if they give you Lidocaine and Nitrous Oxide, you should be fine. There's a good chance you will fall asleep, and even if you don't you'll be so out of it you'll hardly feel it -- IF you feel it at all. One word of warning, however: Make sure you have someone else to take you home. You will be in no condition to drive for at least three hours.