If you get a splinter in your finger, use tape to remove it. Just put the tape over the splinter and pull it off. The splinter should be pulled out right along with the tape coming off.
NOTE: This probably won't work on large splinters unless you use a small piece of duct tape.
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My kids always wine when I am trying to take out a splinter. I found that using an ice cube on the location to numb it first helps. (Holly)