This probably isn't what you want to hear, but you need to see a physician. If the growth truly is a simple sebaceous cyst treatment is quick and easy. Any abnormal growth, however, could be a sign of an STD. You need to be checked out.
Cysts, warts and other nuisance lesions on the penis can be treated symptomatically. If they are bothersome, they can be removed, unless their location makes removal an impossibility. If the cyst bothers you, then you should see a urologist.
Because of the location, I would definitely see a doctor before trying to do anything yourself. I've heard of people cutting cysts out themselves, but it's not wise. To relieve some of the pain and possibly draw it out, I think you are safe to use a warm compress. Warm a rag, apply to the area and repeat process.