I agree with Im4dexter about the ice treatments.

My chiropractor was adamant about heat. No more than 20 minutes if you must. The heat aggravates nerves and makes it worse over time. When nerves get jazzed up they fire constantly.

I would try ice, for 20 minutes 3 times a day with a thin cloth between the ice pack and the skin. That may help and may take a few days.

Another thing that works for nerve pain for me is Lidoderm patches. Place the patch over the spine at the level where the sciatic nerve goes to the spine. (not at an endpoint in the leg anywhere). This drug penetrates in a couple of days use and is a sodium channel blocker and blocks the pain signal from going to the brain. If you are lucky like I was with my MP pain, in 2 weeks of every day use the nerve may settle down.

Even now with my MP pain in remission, heat can still activate it. It doesn't take much heat...say 10minutes in a steam room, to get it to fire painfully.

Lidoderms are expensive, but well worth it if they work for you.
Some insurances require a previous diagnosis of shingles, but others do not. So you need to check on that.