I used to get this all the time on both thumbs and my dominant hands index finger. Now I just always tape those areas before I play and I haven't had any more problems. I use this stuff (can be found pretty much anywhere...get mine at Wal-Mart...I think I've seen the stuff Bud suggested there as well):
I just tear it in half and put it where my fingers crack. This stuff is pretty flexible and stays on even if you start sweating.