Apparently, if you have the burning feeling, the capsaicin has already affected you and there isn't much to make it stop hurting other than a burn ointment/aloe/etc. And alcohol or dish soap should work to get the rest of the oil off your skin (use before burn ointment, obv). Doesn't sound super pleasant, but I can't imagine the burning is either. From what I can tell, milk is better for the digestive system, not so much, ehm, anything else.