About 6 months ago I started bootcamp which is done on sand, and that's the only form of exercise I did for about 3 months. When I first ran on a concrete path, my shins were sore for days! After 6 months it's rarely an issue as most of my running is still on grass or sand, but I did a fun run recently on concrete and had no soreness at all. In the past I have always given up because my shins hurt while running, so I'm glad I kept going because I do believe that with consistency and increasing your fitness that it will get better.