Today I woke up with morning wood, and when I got out of bed (still erect) I noticed an odd shaped lump on the right hand side of my penis, a few millimeters below the head. This was the first time I've ever seen this.

It wraps about half way around my penis, is skin colored, does not hurt, and is under the skin. It does NOT look like a pimple or any of that sort. I am 14. I have never been sexually active, apart from masturbation.

Does anybody know what this is? How to make it go away?

Tell your parents to make an appointment with the doctor and let him tell you what it is and how to make it go away.

There is just too many "ifs" and no one online can tell you exactly what it is.
Infection from oil or lotion used in masturbation ? Sore from friction because you don't use a oil for masturbation? A infection of some type.

You need to discuss this with dad ( or other adult you can) and perhaps have it checked out