When my mare had her's last summer it took so long to come out, and some days she would be worse than others. She was a bit off the first day, then two days later was rocking on her heels (hence my panic). I think as it travels it can hurt more or less, depending on where it is.
She, too, had never been lame in 10 yrs of her life. Keep us posted.
I wouldn't soak but I'd diaper wrap/dip with epsom salt and hot water. My guess is abscess/bruise not puncture. I think with a puncture deep enough to case the lameness you describe you'd have seen more. Poor gal. Good luck.
What ever it is was just tuning up for the big show. Your wrapping was coincidental. This is the usual time frame for an abscess. Slow start, simmer, big bang! Stone bruises are normal to "Ow" in a stride.
Some riders change their horse, they change their saddle, they change their teacher; they never change themselves.
Remember the horse does all the work, we just sit there and look pretty.