Energy-Based Models (EBMs) allow for extremely flexible specifications of probability distributions. However, they do not provide a mechanism for obtaining exact samples from these distributions. Monte Carlo techniques can aid us in obtaining samples if some proposal distribution that we can easily sample from is available. For instance, rejection sampling can provide exact samples but is often difficult or impossible to apply due to the need to find a proposal distribution that upper-bounds the target distribution everywhere. Approximate Markov chain Monte Carlo sampling techniques like Metropolis-Hastings are usually easier to design, exploiting a local proposal distribution that performs local edits on an evolving sample. However, these techniques can be inefficient due to the local nature of the proposal distribution and do not provide an estimate of the quality of their samples. In this work, we propose a new approximate sampling technique, Quasi Rejection Sampling (QRS), that allows for a trade-off between sampling efficiency and sampling quality, while providing explicit convergence bounds and diagnostics. QRS capitalizes on the availability of high-quality global proposal distributions obtained from deep learning models. We demonstrate the effectiveness of QRS sampling for discrete EBMs over text for the tasks of controlled text generation with distributional constraints and paraphrase generation. We show that we can sample from such EBMs with arbitrary precision at the cost of sampling efficiency.