You should worry less about the actual splinter than about the damage you can cause by acting as an unlicensed surgeon. Generally, it’s better to leave splinters in—especially the small ones—than to dig them out. Let the body do its job; in the majority of cases, the splinter will be pushed out or disintegrate within a few days. Attempts at extraction can increase inflammation and the risk of infection.
If it’s a big splinter and it looks ready to come out, you might be able to remove it with tweezers. Otherwise, your doctor will judge whether it’s worth digging for, and he’ll do so in a sterile fashion.
Removed or not, splinters bear a small risk of infection, which can be prevented with warm soaks and topical antibiotics. If you see increasing redness at the site, along with pus and swelling, it may require medical attention for possible drainage or an oral antibiotic.