Ease up on all activity if you gain shin splits. They are not something you can "push through". If you continue, you risk permenant damage to the connection between your leg muscles and your shin bone, which would basically sideline you for the rest of your life.
Do plenty of stretching before and after any significant exercise and try to build up your muscles in that area. It takes time, but they will heal up, and will likely be stronger then before. Just don't push it.
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