I have a burning sensation under big toe. What should I do?

See the doctor. May be due to low back pain. I'll fitting shoes should be ruled out as well.
Burning. Is usually a symptom of a nerve problem. The most common nerve problem that only affects 1 or 2 toes is a neuroma, a benign thickening of a nerve. A joplin's neuroma affects the big toe and is treated by injections to shrink it or surgery to remove it. You may be getting irritation from shoes that could have caused this. See a podiatrist. If you start to smell smoke with that burning.... Run!