This actually should happen and figure skaters and hockey players alike have this problem but not to worry. Not to say the pain is good but maybe be a little loser, but this is part of a system of training that your feet will go through similar to kickboxers when they practice kicking. See what they are doing is over time killing the tips of the nerve endings in their feet and causing the bone in there to calcify and become harder. Everyone goes through this at some point and acknowledges that after a while the pain goes away, but like many others have said, check your fitting and make sure your wearing some decent socks.
Your skates shouldn't bother you that much, even if new. Skate-break in does take about 40 hours or so. You shouldn't bake skates right off the bat you should wait several hours before you do it.
My guess is you have one of two problems:
1)Wrong skate size. You might have a skate too small for your foot. Kepp in mind skate size, is different from shoe size.
2)Wrong skate type. Here's where it gets tricky, everyone has a different foot type...high arch/low arch, more pronation, less...etc. Most manufacturers make skates for different foot types. You might have the wrong skate type for the shape of your foot.
Let me ask, did you buy the skate on your own? It's usually best to buy a skate from a legitimate hockey shop with representatives that know what skates are best for your feet.
When I bought my skates last year....I tried on some CCM's. I concluded I didn't like them much. Then he encouraged me to try out Reebok's, which I liked much better.
The only other thing I can think of, is you're tying your skates too tight. Skates should be snug, but not too tight to where the point you're cutting off circulation.
If you have one or two problematic areas, especially if it only exists on one foot, you can bake the boot and stretch out that specific area by hand. I've had to do this because of problems with one foot, asymmetry stinks!
I have problems with one foot as well, my left one.
While my right foot fits nicely I have to knock out a dent into the toe cap so my big toe doesn't touch the tip of the toe cap on the left foot.
I also make my own new ankle pocket with a homemade tool I made for that. A piece of wood with a hole cut out sanded very smoothly as to not hurt the skate. I cover the hole on one side with a steel plate and then use half of a ball bearing as an ankle bone and use a C-clamp to make a new ankle pocket about 1/8 of an inch higher than the one that comes with the skate.
I really do not know why my left foot is so different than my left. Both look the same with the eyeball!
I wish I could afford customized skates like the pros actually.
New skates, probably for a wider forefoot and a decent footbed should alleviate your problems.
I started skating again using a Graf 703 which has a narrow forefoot, and my feet would take a beating, especially if it was a lengthy skate. I started to loosen the lower part of the skate which helped, but when I switched to a Reebok 9k it fixed all of my problems. It's a fuller volume skate and I have no discomfort no matter how long I play. My legs give out far before my feet do now. I also put Shock Dr. footbeds in there, which are just more substantial and higher quality than any stock footbeds. I'm sure it helps too.