I felt this answer warranted a separate post (as to avoid an overly long list) so here is one final method that I've just thought of and it should work:
- Get some clingfilm
- Apply your lotion to said clingfilm - enough to cover your itchy area
- Place clingfilm, lotion side down, over your itchy area and wrap it around the body part to keep it in place
This is what they advise you do with a serious burn as it prevents scarring, I assume it would also have relieving effects for an itchy area too! (You could probably get away with a bandage as it would let the skin breath and stop it getting really sweaty and what not but it's up to you)
If it is your hands that are the itchy area, you could do the same with a latex glove or similar - put some lotion in there and then put the glove on!
I would think that chilling the lotion before applying it might work (unless it states otherwise on the label - always read the label) also.