Pure capsaicin comes from either chemical synthesis or from purification of casicum extract using High Performance Liquid Chromatography. It is slightly soluble in water, but very soluble in organic solvents such as alcohols (ethanol) and dimethyl sulfoxide (DMSO). A tiny amount of it (even a microgram) is enough to blister your skin.
In 1980 there was a cruel experiment using various rodents to determine capsaicin's toxicity. In milligrams per kilogram, the average toxiticy in rodents when injected intravenously was 0.56mg/kg. When ingested, it was 190mg/kg. Applied to the skin topically, it was 512mg/kg. The assumed cause of death was respiratory paralysis. This means that an average weight person would have to eat about 13g of pure capsaicin, which is about equal to eating 850 habaneros. So you probably won't die from eating too much hot sauce (unless you inject it into your veins).