Perry has had two of those. The first, which bothered her, turned out to be grass seeds embedded in her skin. The second, which didn't bother her until a young vet tried (and failed) to drain it, has since been removed.
I'm inclined to visit the vet, but I do that too much anyway. You could try soaking the foot in epsom salts or something to see if you can get the lump to drain.