I have two rectangular dishpans--I fill one with warm water and the other with cool water. I'll soak in warm water for a couple of minutes and then in cool water for a half a minute, repeat that a couple times, and it gives me some temporary relief. Experiment and do what gives you some relief. Hot, warm, cool, cold, icy. Wet, dry.
One PT told me to rub my feet vigorously with a terry wash cloth--I don't do that very often, but perhaps I should. Let my nerves know that they're needed and they shouldn't be abandoning me.
With moderation, though. Stacy points out some issues that can happen, and there have been reports in the medical literature of people getting frostbite because they're seeking relief with icing. Sigh.