If they're filled with enough fluid that they're uncomfortable, a prick from the side (on my feet when I was hiking a lot I would try and put the hole on the lowest spot on the blister, so I don't know how that would work on fingers) closest to the undamaged flesh and drain the fluid (actually something like plasma). When the skin experiences friction (heat) it lets the top layer bubble up with the interstitial (in between cells) fluid to protect the layers beneath it.
Be careful not to let the blister tear off, exposing the more delicate lower layers of skin underneath. If that happens, Super Glue might be a good idea if you have to play. If you can't forgo playing for a week or so while the blister(s) heal, which it the best case. After healing, the skin will be thicker, and that's called a callus.
As far as Super Glue, when I first started playing I suffered from tender finger tips (left hand, and it was acoustic guitar). I was at that time into mounting crystals and other gem stones into jewelry making necklaces, and always managed to get some Super Glue on my fingertips. Best friend, and more experienced guitar player said he didn't think I should be putting anything on my fingertips, but then there was a magazine interview with Flea, who said he has to fill in his thumb with Super Glue when RHCP are on tour.
Basically playing a 3 hour show every other night, and can't afford to take a night off.