I wouldn't risk baking them. You could try a warm hairdryer to warm them up inside, and then sit with them on until they cool, but that's as far as I'd go with the heat.
What I really would recommend, however, is a set of ankle gels. Everglides sell them at £15 or £20 a pair, depending on how thick you need them, and I've found my set to be wonderful. You can also find them on eBay and Amazon. Bunga Pads are the ones people commonly mention, but the unbranded ones work just as well.
Of course, a chat with Everglides - especially if you bought the boots from them - is always a good idea. They really know their stuff.