O.K... so these are the steps to take before playing the guitar (if your fingers are hard):

1.- dive your fingers in really hot water and leave them there for 5 minutes.
2.- do the captain spock streches! :P
3.- and a little excercise that a friend told me:

-------------------------------------1-2-3-4-
----------------------------1-2-3-4---------
-------------------1-2-3-4----------------- And backwards...
----------1-2-3-4---------------------------
-1-2-3-4-------------------------------------

After doing the 1-2-3-4, you do 1-2-4-3, then 1-3-2-4, 1-3-4-2... get the idea?
You don't have to do them all, just until your fingers are lose.