The blue balls get better with time, at least for me. It helps me if I rub them, even when locked. Like others said, the best thing is to milk the prostate.
My experience is more like what Grizzly228 went through. And over the 10 years I've played with chastity I have tried every variation to resolve it. Different rings, cages, underwear, pants, etc. But after the first week, where I experience the more normal discomfort and slight ache of blue balls, I go into a place that is genuinely painful. Where moving too quickly can hurt, and sometimes I couldn't sleep through the night. The only thing that resolves it for me is some form or release. Prostate milking works, ruined orgasms work too.
I have tested it enough to know that this happens from the denial and not the device, as I have gone for 12 days without a device and started to experience the same debilitating pain about 8-10 days in.
"Some people need to be caged before they can be free." - Anon