That prickly sensation is called heat-sores.
Actually called "heat rash". Also known as "prickly heat". One treatment is showering in alternating hot cold shower (relieves pain, and helps open pores)
From WebMD site:
What Is Heat Rash?
Heat rash -- also called prickly heat or miliaria -- is a common condition in which areas of the skin itch intensely and often feel prickly, or sting, due to overheating. Heat rash looks like tiny bumps surrounded by a zone of red skin. It usually occurs on clothed parts of the body, such as the back, abdomen, neck, upper chest, groin, or armpits and goes away on its own within a few days. In severe forms, however, heat rash can interfere with the body's heat-regulating mechanism and cause fever, heat exhaustion, and even death.
Heat rash occurs most often in hot, humid conditions, but you may develop it in cool weather if you are overdressed. The condition usually appears a few days to a few months after exposure to a hot, humid environment. It's most common in infants. Active people, newborns in incubators, and bedridden patients with fever also are more likely to get heat rash.
What Causes It?
Heat rash begins with excessive perspiration, usually in a hot, humid environment. The perspiration damages cells on the surface of the skin, forming a barrier and trapping sweat beneath the skin, where it builds up, causing the characteristic bumps. As the bumps burst and sweat is released, you may feel the prickly, or stinging, sensation that gives this condition its common name.
What Are the Treatments?
In most cases, heat rash will clear up on its own in a few days if the affected area is kept cool and dry. So cool your body in an air-conditioned room or with a fan, or take a cool shower or bath and let your skin air dry. If you can't cool down right away and you continue to sweat, don't add any antiperspirant, lotion, insect repellent, or powder to your skin -- these may trap more sweat, making your symptoms worse.
Once the skin is cool and dry again, apply calamine lotion or an over-the-counter 1% hydrocortisone cream to relieve itching. Don't use any type of oil-based product, which might block your sweat glands.
If your prickly heat does not go away within a few days, or if you develop an infection where the bumps have burst, you may need medication, so call your doctor.
How Can I Prevent It?
To prevent heat rash, avoid situations that can lead to excessive sweating, such as hot, humid environments and strenuous physical activity. In hot weather, use air conditioning, fans, and cool showers and baths to stay cool; dry your skin thoroughly; and wear lightweight, loose-fitting clothes.