Originally Posted by Sultana

Something that helped me tremendously with the shin splints I developed while doing competetive Irish Step dance was keeping Sorbothane inserts in my shoes. They're amazing, and kept me dancing at least a year to 1.5 years longer than I could have without them. I couldn't even practice, much less perform. Incredibly painful, I could barely walk afterwards.

You can get them at Footlocker stores, and they're not gel inserts so you can trim them to fit your shoes.

But I do agree with snowy that you should look into a bit of training, prevention is 1000 times better than cure (although there's less money to be made ;P).