According to Everyday Health, it's best to cover a blister with a bandage for protection until it dries. This is particularly important to help decrease the risk of infection if the blister has been popped.
WebMD suggests washing the blister gently with soap and water before covering with a bandage. It's best to avoid popping the blister if possible. If the blister has been popped, any remaining skin needs to be left alone. The area must be washed, and antibiotic cream should be applied before the bandage. The bandage must be changed at least once a day and any time it gets dirty or wet. Red streaks, increased pain, warmth at the site, and fever are all signs of infection that require treatment by a physician.