As I've said before, I find shoes with shearling lining (like Ugg and others) work best. I believe this is because they allow air circulation. The burning starts later, giving me more time relatively pain free
I have even created false Ugg shoes by using their insoles and other tricks.
I'm considering going to a custom shoe maker, but they're hard to find anymore, and very expensive.
It also depends on the weather. Very hot and very cold are the worst