suck it up and keep kicking the heavy bag. if it bothers you that much it may be worth investing in a water filled bag. don't bother using shin guards or your shins will never toughen up. i'd avoid messing with rolling pins and the such on your shins, just kick the crap out of the bag.
wear guards if you're sparring - it will protect you and your training partner. otherwise, DON'T KICK SOMEONE'S SHINS!
... and yes, a canvas bag is rough enough to be abrasive on your skin so maybe wear long socks and pull them up so your bare skin isn't contacting the bag and irritating your shins. all kidding aside, i had the same issues when i started training about 5 months ago but i was at a hardcore muay thai camp and they said just keep kicking the bag and after a while your shins will get used to it. now i can blast kicks into a heavybag as long as my cardio hold up, although i still prefer not kicking a canvas bag.