It depends how long you have had it for. Did you recently notice it or has it always been there? It is normal for guys to have quite noticeable veins in their penis, however if there is pain or discomfort you should probably visit your doctor in case it is something serious.
Try to avoid sex and masturbation. If there is pain then you should immediately go to a doctor. Do not be embarrassed by a genital deformity because more people have them than you know, and probably worse. If you can't see a doctor just take hot baths and use lotion.
Immediately go to the hospital emergency room for a swollen penis vein. This could indicate a clot of some sort. When veins become clotted, they can cause cell damage to the area.
You should definitely see a doctor about a swollen vein anywhere, I think. You should especially do that with a swollen vein on your penis. Who knows what kind of garbage is doing that to you.
Talk with your physician about it. Generally, a bit of therapy will resolve the problem, but if not, there are further options your doctor can explain to you.