I have been knitting for several years now, and have found that I develop ugly calluses, and occasionally have burns or cuts on the fingers I use most when knitting.
In my experience, the best thing you can do to protect your finger once you've already sustained an injury (be it a burn, a cut or the beginnings of a callus), go to a drug store and pick up a roll of self-adhesive athletic tape. It's kind of like an ace bandage without the clips. It's a rubbery material that hair and yarn do not stick to, but it sticks to itself, so it doesn't get in your way.
it's a nice squishy material, so it doesn't interfere with your knitting work, but it provides a nice cushion to protect whatever wound you're trying to work with.
Give it a shot. I don't knit without them now, mostly to prevent calluses.
Let me know how it works out for you!