Try squeezing the club as tight as you can, as soon as you relax them start your swing. If that dosen't help you should switch to winn grips or some other soft type grip.
When you hold too tight and hit towards the toe, the club will torque and that is probably what is causing the pain.
You should also work on moving the club from your palm to your fingers. Just because your fingers are on the clubdosn't mean the club is in your fingers, the shaft should not be in your palm. If your glove wears out high on the palm you are holding it wrong.