You can carefully drain it if it hasn't popped yet. Sterilize a needle in rubbing alcohol, and use rubbing alcohol to sterilize the bottom of your foot. Then, poke the needle in to some good skin--i.e. NOT RIGHT OVER THE BLISTER-- and run it sort of parallel to your skin. Ever do that trick in elementary school where you stuck a needle through the outer layer of skin and made it look like it was stuck in you? Same thing, except you want to tunnel down into the healthy callused skin, and then come up underneath the blister. Use that hole to drain the fluid, then put some neosporin or whatever over the small needlehole. Do your best not to allow the blister to pop, otherwise it hurts a LOT more and will get infected, probably.
The pocket of skin does no harm--it's the fluid inside. Heck I remember warming up for a big track meet, finishing my warmup routine, draining a blister on the ball of my foot, and spiking up! Didn't hurt at all.