Don't sit around waiting for it to "heal" on its own. This would happen to me fairly often in my early DB days -- I was gigging a lot and didn't really have that shoe-leather callous on the side of my pizz finger yet. On the job, I'd ice the finger after the first set -- that burning feeling tells you a blister is coming. Once the thing appeared, I would drain the blister right away. Then I'd apply some type of cyano-acrylate glue (aka "super glue", "krazy glue", etc.) -- that would give me some artificial skin that would last about another 1-hour set. Then I'd make sure I kept playing in the following days. For some reason, there seems to be a quicker callous build-up right after a blister episode -- take advantage of that.
If you ever see any blood, things have gone too far! Don't introduce stuff -- CYA glue, bow rosin, ancient finger gunk on the strings -- into your blood stream if you can help it.