>>What to do?>I have experienced the same sensation and it is indeed the beginning of shin splints.  I feel discomfort after a few classes of not using a good plie -- especially when jumping.  Rest will make things better, but if you continue with classes, make sure you keep the areas warm and pay closer attention to your plie.  "Into the floor," they're always telling me.  If you don't go through your feet when landing and your heels don't touch the floor after a jump and all your weight is being absorbed by your shins.  Plie plie plie -- it's the most important part of ballet.  Hope you feel better soon.