Once, when I was a kid, I got too close to one and got a chunk if it stuck to my thigh. I tried to pluck it out with my fingers. Grabbed a couple spines and jerked and let go, trying to fling it off and away. It grabbed back and when I flung it, it went straight up and came back down on my shoulder, right by my neck (ergo the name "jumping cactus").
So, my little brother tries to help me out. He picks up two rocks and tries to squeeze the cactus and pull it off my neck. Of course he dropped one of the rocks on the cactus and pounded it into my shoulder.
I finally got it out myself. After that hard lesson, I rarely had any problem with cholla!