I've tried everything under the sun. The best advice I've read (and tried) is to place your burned skin under COOL running water until the pain subsides. Do NOT ice it. Do NOT run super cold or warm water over it. Do NOT immediately put an ointment on it. The skin is very fragile after a burn simply running cool water over it transfers the heat out of the finger without making the burn worse.
And this is a tip learned the hard way. Many times over.