Same thing happened to me, once you have your jumping down to just enough to clear the rope and have a good pair of shoes you won't have to worry about it.

Good general advice from Frei. This can apply for running, skipping or lower leg work for the most part. If your shins hurt you should take it easy on your workout, or take a break and pick it up when they're feeling better. If they're killing you should ice them, if it's not so bad take a short break and stretch your calves.