One thing you might want to do is have someone examine the area millimeter by millimeter looking for foreign objects, a tick, or infected chigger sore. Sometimes a tick can dig in and the body will swell up around it.

Once you examine the area closely and found nothing i would go with hot moist compresses for an hour or three to see if it will localize and, perhaps, come to a head. You use a dish towel with water as hot as you can stand without doing any damage. You may find that the heat deadens the pain and, for future reference, moist heat also works on itching. If it comes to a head you keep up the compresses until it is easily lanced. Then you clean it out and bandage.

If it doesn't seem the sort of thing that is forming a head or localizing, or if the hot compresses make it feel much worse, you should try cold compresses and see if that helps.

If anywhere along the line the tissue looks to be breaking down, as in an infection or bit that is eating the tissue, your better off getting medical help. If the tissue is breaking down and the affected area is deep, or spreading rapidly heading down to the ER is your best shot. You need to be extra careful with any issue on the head, neck or near the spine.

Also small puncture wounds into fingertips the tip of a toe can be dangerous and lead to a bone infection. A bone infection in a fingertip usually means the finger is amputated. And if your lucky that is the end of it. When in doubt get medical help.

I once had a cactus thorn bury itself deep in my leg. For about a week I was unaware I had a thorn in me. then it started to act up. It would itch and sting a bit and then get better. Then several weeks later the spot blew up, got very tender, and hurt so bad I couldn't sleep. I used a hot compress and it looked to be forming ahead. Over two days I kept up with the compresses until the lump was right at the surface. Lancing it was a relief. Along with a ball of puss and crap came a half-inch long tip of a cactus thorn. Once it was out and the hole cleaned out it healed quickly.