Listen to @MEade, don't pull it. I had someone pull on my jammed finger because it was crooked. It turned out to be a bad fracture. Hope that isn't your case. I don't know if the pulling on it caused it to heal with a rotational deformity or if it was from the initial jam. However, despite ultimately having surgery, my finger is crooked when I make a fist. See a hand doctor if you need to see a doctor.
In the meantime, yes follow RICE. Coban works nicely for a finger wrap because it sticks to itself and it is easy to wrap and re-wrap. I would first wrap the finger individually for the swelling and then wrap it to the adjacent finger for protection. (Not too tight - allow for swelling. Check the temp, sensation and color of your finger tip to make sure it is not too tight.)
As far as splinting, I found that it was more trouble than helpful, as it would bump things and cause more pain. Elevate your hand higher than your heart to stop the throbbing.
If you don't have a fracture you can start some gently motion as the swelling goes down. A contrast bath (alternating cold and warm water) is a nice way to do this. Good luck.