At last someone else!! I know exactly what you mean. I have excema on a lot of my body and have been "Burning" for a while. You are so right to say that it is an amazing feeling. It is very close to the feeling of Orgasm. I would say that I am quite hooked on doing this and see it as a sort of self harm as I know that it makes my skin so much worse in the long run.
It is one of the only ways I can get relief from the itching but after I do it I do get a real feeling of depression as the "Buzz" goes and I know that I have done yet more damage.
I stopped using hot water a while ago as it wasn't very targeted and would dry out whole areas of my skin. I now sometimes put my back up against the radiator or my real big one at the moment it to burn with a hairdryer. It feels so good and it is so target able that you can get just the right spot where the excema is itching. PLEASE DON'T DO THIS!! I find it really hard to stop now and it just makes me worse.
It's good to know I am not alone on this one. ~:-)