From Natural First Aid Kit: For thorns, use a piece of pantyhose to snag and pull them out. Works great for small thorns like those of cactus [needles].
Pour on a thin layer of regular white glue. After it has dried, peel it off, pulling out tiny needles with it.
To get out a deeply embedded splinter apply a slice of fresh onion or tomato. Another alternative is to apply some honey. [A third method is to use a bread/milk poultice. Put a small piece of bread over the splinter and moisten the bread with milk. Wrap the area to keep the poultice in place. This may have to be repeated a few times.] Either way, the splinter will be drawn to the skin surface.
Apply ice to the area to numb the nerves and use the old sterile needle and tweezers.