An interesting alternative to try is Vitalis Comfort gel (
http://www.wampole.ca/57-en-vitalis-comfort-gel.html). I know that many chiropractors love this product. They have used it for conditions like bursitis with success. It does penetrate. It is non-oily. You apply it to the affected area 3 to 4 times a day. It induces a mild sensation of heat. If you apply it to a large surface, you may experience a cooling sensation. This is the result of the activity of some of the counterirritants on the cold receptors in the body.
I used it in two clinical trials. The trial assessed analgesic and anti-inflammatory herbal remedies and we included this topical gel to provide the patients with local pain relief.
It contains ingredients called counterirritants, which are well known for their local pain relief. After application you should feel the action penetrating. The benefits usually last 1.5 to 2 hours.