Here is the capsaicin MSDS, its material safety data sheet. Basically, it burns, don't get it on your skin, and definitely not in your eyes or any other mucous membrane. In the lab one time I was working with 1 M capsaicin, and got some on my gloves and didn't know it. I scratched my bottom, and it went through my pants and underwear. It was not very pleasant. Be careful with this stuff.
While you are here, why not use the menu to the left to take a look at all the uses for capsaicin? Capsaicin has a huge range of ailments that it can help to treat, including things like diabetes to peripheral neuropathy, to prostate cancer.
Pure capsaicin powder or crystals (not in solution) can be very dangerous also. It easily becomes airborne as fine little particles. ALWAYS weigh it out in a hood. People can become sensitized to the smallest amounts of powder, and cause severe eye watering and coughing.