Make sure you are warming up and stretching properly. We used to always stand on the curb (or edge of a step) and let our heels go down and then stand up tall on our toes (back and forth). That always helped me. They do hurt, don't they?! Don't start running without walking around first. You should also walk before stretching. So, try walking, then stretching, then running?
I know the feeling. I had them last night. I did end up taking Ibuprophen. It helped to have my Husband hold the electric massageron my legs next to the shin bone.
If you are a runner, the best thing would be to have shoes with good cushioning at the ball of the foot. Mine hurt from walking back and forth on bare concrete floors and standing on my feet for 6 hours. Good luck.
I was recently turned on to self myofascial release to help get rid of my shin splints. To help mine, I had to back off on high impact workouts for a while. I did lots of calf stretches throughout the day also.
For the self myofascial release, you need a large foam roller. Sit on the ground and place the tender part shin in contact with the roller (sometimes it takes a bit of contortion). If possible, cross the other leg on top. Next, lift your bottom slightly off the ground. This will increase pressure on the bottom leg that is resting on the roller. Now, very slowly, roll the foam roller up and down your leg. After a minute or two, switch legs. This exercise helps to release the fascia from the muscle and allow the fibers to reorient to be smooth and parallel, instead of bunched and tight. It hurt so good, but really helped.