Unfortunately rest is extremely important in recovery of shinsplints. I wouldn't put heat on them - it's inflammation of the covering of the shin bone where a tendon attaches, and heat will make inflammation worse - use ice or frozen peas in a damp flannel instead, several times a day. Oil the skin first, leave ice on for no more than 10 minutes, wrap the whole lot in a towel to stop them defrosting too quickly. Stretches may help - the muscle you want to hit is Tibialis Anterior, which brings the foot up and out, so if you point your toe and turn your sole inwards that will stretch it. Insoles, as bluedolphin suggests, will prevent over-pronation, which is another cause of excess tension on Tib Ant. For further information on shinsplints generally see
http://www.drsfootcare.com/shinsplint.html,
and you could try typing it into www.google.com However, I've found a few sites which recommend application of heat - this is not good from a physiological point of view when swelling and inflammation are present, and I wouldn't recommend it.