A lot of embrocations have capsaicin, the hot stuff in chili peppers. Regular capsaicin from chili peppers is soluble in oil or alcohol... I assume that might work with embrocation, too? (alcohol is easier to rinse afterwards).

Yikes, gnat!

ETA: My knees have burned (similar to what you describe) in the shower after using embrocation. I think water activates it... so you might have been sweating. Yikes.