I stepped on some cactus thorns while my mom and I were hiking in the desert (posted pics and videos over in the animal thread if you to see what else we found), and one of them went all the way through my shoe and into my foot, and now it hurts every time I walk on it. It's not enough to need to go to the doctor or to even stop walking, it's just enough to be annoying and make me cringe every time I step with that foot.
You should get a shot of antibiotics. Puncture wounds turn into nasty infections pretty darn fast.