Concern about possible electrical shock
3.7V wont pass current through dry skin. As others have mentioned it's MUCH more likely you got a thermal burn. 

There is however some danger of getting quite nasty burns when wiring up a battery to a load. 

If there are arcs formed during the connection and your fingers are in the same spot, you can get a nasty burn from that 1000C+ spark. These modern batteries pack a lot of punch. Care should always be taken to keep your fingers away from the terminals while wiring these things up.

If your fingers are blistering badly and the skin is broken, a trip to ER to have it properly cleaned and dressed might not be a bad idea.

ADDITION: If you are hooking that battery up to an inductive load, like a motor or a solenoid, there is a high change that breaking the connection will induce a large voltage on the wire. That can give you a bit of a jolt, similar to a static discharge. That is why we use switches.....