Yeah i was exactly the same!! The thigh burn is good, thats muscles working as they should getting stronger and burning energy, embrace that feeling
However, shin pain is bad (and believe me i can thoroughly sympathise) and you need to deal with this. Inthink its normal to get some mild shin pain, especially at the start but if it gets any worse than a very mild bruise feeling at the front of the shin then my advice in the suggested order...
1. Are you wearing properly fitting running shoes selected on the back of gait analysis by a knowledgeable expert? Shoes should not be bought because of price, colour, brand etc. In the uk national chains that know what they are talking about are sweatshop, tony pryce etc but not JJB Sports, sportsworld etc
2. Consider heat molded insoles (
www.footbalance.co.uk) which deal will rolling feet ( which is a common cause of shin splits.
3. Run on the softest surface you can e.g. Grass>gravel>tarmac>concrete
4. Are you running as slow as you possibly can whilst still running? If not slow down.
These things will make a massive difference.
Treatment wise RICE (Rest Ice Compression Elevation) is the only effective treatment. Ibuprofen will also helps ats its a NSAID so will reduce inflamation. Id also suggest looking at PACE runnig method on youtube.
Do not run if you have bad shin pain!! Your body wont adapt to it, it will just get worse and it can takes weeks if not months to subside if you push it.