I don't think going to the ER is going to help. They'll maybe give you something topical to try to treat the burning, but if it is a neuralgia -- a nerve-related pain -- that isn't going to do much. And then they'll refer you to your neuro. It's not like..if you walk into the ER, you'll be instantly transported to some special clinic where they'll run all sorts of tests. What WILL likely happen is you'll wait a long time, be "seen" by an intern, "triaged" -- meaning, moved to the bottom of the line because you're not there for what ER's are designed to do...treat people who have real emergencies...
meaning, you're breathing, you're not bleeding, you're conscious, you're aware and awake, you're not having an anaphalatic episode, or an asthma attack, or at risk of dying any time soon....
and then you'll wait some more. Then you'll be told to see your doctor in the morning, and handed a bill (or one will be sent to your insurance company) that will be huge, and you'll still have the pain.
Neuralgia -- nerve pain -- can happen with MS. But..and I think I've said this before, maybe to you -- it can happen with LOTS of different disorders. A rheumatologist might be a good next step...did I suggest that to you before?