Skip the Icy Hot. It doesn't do anything to help the problem (it feels good, but doesn't help the muscle repair itself).
Use real ice during the first 24 hours following the injury. Heat works better after that (but not before a run). You should also use some ibuprofen.
You should also scale back your training for now -- the guide for treating injuries is RICE -- Rest, Ice, Compression and Elevation. Rest means just that.
I also recommend that you invest in compression sleeves and socks. Runner's World has a very recent article (September edition?) on compression socks. I've tried socks and sleeves, and strongly prefer Zensa compression sleeves. They look dorky, but they provide relief and seem to help if worn while running. Also, you'll look like a "real" runner if you wear them to a race!
Don't let this setback discourage you. Shin splints are part of being a runner.