The stochastic integrate and fire neuron is one of the most commonly used stochastic models in neuroscience. Although some cases are analytically tractable, a full analysis typically calls for numerical simulations. We present a fast and accurate finite volume method to approximate the solution of the associated Fokker-Planck equation. The discretization of the boundary conditions offers a particular challenge, as standard operator splitting approaches cannot be applied without modification. We demonstrate the method using stationary and time dependent inputs, and compare them with Monte Carlo simulations. Such simulations are relatively easy to implement, but can suffer from convergence difficulties and long run times. In comparison, our method offers improved accuracy, and decreases computation times by several orders of magnitude. The method can easily be extended to two and three dimensional Fokker-Planck equations.