Capsaicin isn’t water or alcohol soluble, but it is soluble in fats. Which means that when you O.D. on chile peppers or pepper sauce, the worst thing is a glass of icewater (which merely spreads the undiluted capsaicin around your mouth and tongue).
IMO milkfat is best, and it breaks down the capsaicin almost immediately.
Not butter or cheese, but a swig of heavy cream, half and half, or a few spoonfuls of high-fat ice cream like B&J or Haagen Daas.
If you accidentally eat a few bird peppers in a Thai resto, ask them to bring you some coconut ice cream, which they always have.
Come on, ice cream!