Many medical texts and first aid courses, including the American Heart Association recommend a time-honored approach for treating bee stings: grab a sharp object, apply it to the skin and gently scrape away the stinger. The theory behind this approach is that the imbedded stinger left by the bee has a small venom sack attached to the abandoned stinger that if pinched while removing will inject more venom into the victim.
A study by the University of California has come to the conclusion that speed of removal is more important than technique. Their research indicated that the imbedded stinger and venom sack continued to inject the venom even after the bee had left, meaning that removing the venom sack immediately was a more important consideration than removal without pinching the venom sack.
My instinct would be to follow their advise, scrape it, try not to pinch it... whatever it takes, just get the stinger out ASAP.