As long as the guards / splints are well designed and worn consistently, they can be effective for those people who grind so badly that they damage their teeth. Ill-fitting splints, however, can create more problems than they solve (besides which, they are rarely worn because they are uncomfortable).
In my practice, the most common problems I’ve seen with splints is that they are too big. This throws off the placement of the temporomandibular joint (TMJ) which then makes the muscles of the jaw (most notably the masseter and pterygoid muscles) painful and tight. Very often, the tension in these muscles feeds into the grinding through muscle tension and heightened activation.
In the below diagrams, the red areas indicate the primary patterns of pain associated with bruxism. In the first diagram, the muscle drawn at the back of the jaw is the masseter, which is the main chewing muscle. You can easily feel this muscle when clenching your jaw:
Bruxism also affects the medial and lateral pterygoid muscles:
which are very difficult to reach, but important to treat for TMJ pain and bruxism.
There is a good product out now for self-treatment of the muscles of the jaw, called The MyoFree Solution:
Very often, if you deactivate trigger points in the jaw and restore normal tone and resting length, the bruxism reduces or is eliminated entirely.
In the meantime, though, let your dentist know that the splint is uncomfortable, and ask them to reexamine the fitting. Good luck!