put athletic tape on your heels(no prewrap, just on the skin, to prevent nasty blisters) and play in them. the only way you can break them in is to wear them, though they will take a toll on your feet at first.
Wear them in the shower...a hot shower. That's what I always do and all my teammates do as well. It'll loosen the leather up and break them in nicely. Once you get out of the shower...walk around in them for a bit.
See whats the problem is there is, a strip in the back of the heel of the shoe that is causing the major pain. I only had them on for 20 minute and my heels are skinless!
This is also what I do when I get a new pair of cleats. Not only does it loosen the leather up/ break them in, but the wet cleat also molds more to the shape of your foot. As for dealing with your skinless heels, I would suggest wearing your old worn in cleats until they heal and then start over with the new ones-tape on your heel, wearing them in the shower etc.