This article is from the Recreational Figure Skating FAQ, by Karen Bryden with numerous contributions by others.
Wear thin socks. Basically, you want the socks to slide against the
leather. Thin polyester socks are good in this respect. Lace and
unlace your new boots three or four times before skating. Skate for
short periods at first paying attention to the way your feet feel and
stop if there is chafing or irritation. Never ignore discomfort
because it can turn into blisters and infection.
If the top rim of your boots rubs your legs, buy some cloth medical
tape and moleskin to protect the irritated areas. Bandages or round
foam makeup pads can be made into pads to fit over your ankles.
It has been suggested that if there is excess glue at the top rim of
the skate, this can be carefully sanded to smooth it out. It has also
been suggested that before putting on socks, covering the areas of the
foot at pressure points with Vaseline or the equivalent prevents
blisters and general soreness until the boot is broken in.
You can get boots "punched out" (stretched) where they're hurting your
feet, customizing them to some degree (this leaves marks on the
leather which almost disappear in time). Some skate shops can do this
or look for a store specializing in orthopedic shoes.
Don't lace them right to the top at first. See about lacing.
To make the boots fit the contours of your ankle bones, find a wooden
dowel (eg. broom handle) about the diameter of the projections of your
ankle joints and cut two lengths equal to the width across each ankle.
Using tape and a marker, mark the location of your ankle bones on each
boot (on top of the tape) -- it turns out that the inner and outer
ankle bones are not directly across from each other. Then when not
wearing the boots, insert the dowels, lining them up with the marks,
and lace the boots up tightly. Similarly, a shoe tree or other solid
object placed in the toe will help to relieve pressure on the toes.
*Warning: The following recommendations for breaking in your boots are
not accepted by all - some say that they may shorten lifespan of your
boots or result in an inappropriate break-in pattern.* Put on skating
tights or socks after putting them in water as hot as you can stand
and then put on your skates and just sit, no walking, until the tights
dry. Or, take a couple of damp hand towels (not dripping wet), put
them in a microwave and get them hot, put them in the boots for a few
minutes, then remove the towels and wear the boots for a while.