I get the same thing and it's awful- especially in summer, I get so paranoid about them in thongs etc.. but since finding this really great little pumice stone I haven't had to worry. You get it from the Chemist, (a doctor recommended it) in a little box, I think the actual brand name is 'Hores'. It's a little black block that you use to scrub with soap and water- it's different to any other pumice stone I've ever come across, this one really works and can fix even the absolute worst deeply cracked heels. I swear by it!
So I use this in the shower a couple times a week and every day after showering I apply a good sorbolene cream as well as some heel balm (like Neat Feat) and pop on socks. I find they get really bad if I walk around without socks on, so it's easy to maintain in winter.
Also, I sometimes buy a tube of cheap homebrand lanolin cream (about $2) and it works just as well as the expensive balms.