damion - the burning sensation you are feeling is, in fact, the pain produced by your finger actually burning. If you hold it there a bit longer, you may even get to smell the skin starting to roast. My advice is to remove your finger immediately and immerse it in water, at least until the screaming stops. Others may disagree though.
re filters - if you are using a camera with TTL metering (like your r3a) it will do all the work for you so no worries. If you are using a manual camera, you can either add the amount suggested by the filter manufacturer onto the meter reading, or you can set your meter to over expose by that amount, which is quite hlepful if you're going to shoot the whole film with the filter in place. If you're using a toy camera, there's not a lot you can do about it, other than shoot with faster film.
hope that helps