Yeah, if it still hurts after you pull the splinter out, there's still a splinter in it, and the thing with glass is, by nature it'll just keep going deeper and deeper. The Nazis even experimented with glass landmines for this reason in WWII, just because of how hellish the injuries would be, because the pieces would never settle in one place like a metal splinter would. http://en.wikipedia.org/wiki/Glasmine_43
Anyway, you gotta find the "hole" where the glass went in, and pull the glass out. In your case, a doctor would make life a bit easier, as he's going to have to make the hole bigger to find the little piece of glass. If you got good tweezers, you can try harder pulling it out by basically squeezing the skin to get the glass to go the opposite direction, or possibly, get a needle and fish it out. Basically, the thing with splinters is, you gotta try hard as hell to get them out, even if it takes a long while, or else they just go deeper or get infected. So, might actually wanna see a doctor about this, unless you like doing basically self surgery with an exacto knife.