The most likely cause of what you are seeing is an interdigital cyst. Although these are called cysts they are actually fairly solid inflammatory nodules caused by an inflammatory reaction to broken hairs embedded in the skin between the toes and pads. If you tried to lance it or drain it that would only cause him discomfort and not be helpful in resolving it.
Here is a link to a picture of dog's foot with a small lesion: http://i703.photobucket.com/albums/ww40/TheProdigy714/wornfoot.jpg
They are more common in short haired breeds, but any breed can develop them, and are often a result of broken hair follicles, either from licking or chewing at itchy paws from an allergy or trauma associated with heavy play on hard or rough surfaces.
If we can catch them early using espom soaks to reduce inflammation and allow the follicles to open can be very helpful.
The next step is oral antibiotics if a secondary infection occurs. I find Clavamox or Cephalexin to be the most helpful antibiotics.
In some cases we have so much inflammation present that surgery is the only cure. Recently the treatment of choice is laser surgery to remove the affected tissue and cauterize blood vessels, leading to a more comfortable and permanent solution. This should be done by a veterinary surgeon with lots of experience treating these cysts to achieve the best results.
Long term though prevention is key.
So soaking the feet in epsom salts every few days (twice a week) to prevent formation is a great idea. Make sure to dry the paws well after soaking.
Treating or preventing allergies which cause licking and chewing of the feet is a great idea too.
Food allergy is a common trigger for itchy feet so you might want to discuss using a prescription hypoallergenic diet (Hills z/d or Purina Pro Plan Veterinary Diets HA are both very good) with your veterinarian.
Using antihistamines and omega 3 fatty acids if inhaled allergies are part of the problem may help too.
I will give you a list of antihistamines to try if he seems to lick his paws often as some work better for some dogs than others, you may have to try a few before settling on the right one.
You can try:
1)Benadryl (diphenhydramine only don't use the combo products as they can be toxic) at 1mg to 2mg per pound or one 25mg capsule per 15-25 pounds of dog orally every 8 hours.
OR 2)Claritin (loratidine) at 5mg per 25 pound dog once or twice daily.
OR 3)Hydroxyzine at 1mg per pound orally every 8 hours.
OR 4) Chlorpheniramine at 4mg to 8mg per dog once or twice daily.
OR 5) Zyrtec (Cetirizine hydrochloride) at 1/2 mg per pound of body weight orally every 24 hours. That would be one 10mg tablet per 20 pounds of body weight. Make sure it is NOT the formulation with a decongestant (such as Zyrtec-D) because dogs cannot tolerate decongestants.
Some dogs do better on one antihistamine rather than another. Give the one you pick a week trial and if it isn't working try another. Be aware antihistamines can cause sleepiness or hyperactivity in some dogs. These side effects do wear off with repeated use
Omega-3 fatty acids are fish oil products. 3V by DVM or Derm Caps ES are good brand name products. I recommend an omega 3 fatty acid dose based upon the EPA portion (eicosapentanoic acid) of the supplement as if we do that the rest of the supplement will be properly balanced. Give him 20mg of EPA per pound of body weight per day. For example an 80 pound dog could take 1600mg of EPA per day.
Other possible causes of a "blood blister" lesion between the toes could be a tumor, such as a mast cell tumor or histiocytoma or melanoma, or an abscess due to a foreign body (grass awn, thorn) in between the toes. So an exam is recommended if he isn't improving.
Best of luck with your fellow, please let me know if you have any further questions.