These are -- as you no doubt know -- quite painful. I'm going to say lancing is the treatment of choice, but it's not a first aid treatment. The first aid for this is packing it to prevent more irriation.
I don't like lancing boils at home. It's a process that really can benefit from a doctor's eye and a good sterile field, not to mention it's sometimes quite valuable to culture the discharge from the boil. If done incorrectly, you can spread the infection that caused the boil to other tissues.