Earlier on in my symptoms of this horrible, dreaded neuropathy, I used capsaicin (Zostrix 0.075%). At that time, I was not experiencing burning, only pain in my feet and the severe deep and stabbing pins and needles in both legs and both arms and ramdomly in my torso. I used it because its one of the medicines that is always mentioned in most sites I visited while researching on treatments for neuropathy.

After the initial application, it gave me a burning sensation in my arms and legs. It was very bad that I had to take a shower at the middle of night (it was winter so I had to use the warm shower). I did not know that the warm shower will aggravate the burning!!! Though, the label says that burning will occur during the first applications, I did not expect to be THAT BAD.
The good thing about it, (if you can consider it as "good"), the burning masks the lancinating pain in my skin. I continued using it for a month because the severity of the burning reduces as I applied it regularly. I can tolerate the burning, but not the deep stabbing in my skin (well, with all the dreadful symptoms of the neuropathy, we, PNers learns - sort of - which symptoms are "tolerable" than others). The sensation of "sandpaper" rubbing my skin makes me nuts, !

After a month, the burning continues in my skin even if I was not using the capsaicin. And even when I applied, the "sandpaper" sensation remains.

Maybe capsaicin works for others, but not for me.