Check your facts again Bubba.
According to my old trusty Merck Index (10th ed. pg 243-244), capsaicin is "freely soluble in alcohol, ether, benzene, chloroform;".
This deserves repeating: Typical yankee.
However, unfortunately, capsaicin is only minimally soluble in alcohols heavier than methanol, e.g. ethanol, hence beer or wine. Any relief obtained from drinking beer will have occurred because of a simple 'washing-away' effect. (As an aside, pls note in general that solubility of anything in beer or wine will be but a tiny fraction of the solubility of the same substance in pure ethanol, due to 1) the small actual proportion of ethanol present and 2) the dilution of solubility effects from the presence of contaminants, typically grain or fruit flavinoids.) It didn't occur to me that you might accidentally confuse the two (who drinks methanol, after all?), else I would have written ''insoluble in ethyl alcohol''.
Here's a link to the formal chemical specification of capsaicin, as produced by a primary manufacturer.
http://www.alkalimetals.com/specs/pure_capsaicin_specs.htm
And here's a useful discussion of the practical chemistry of vanilloids in broad:
http://antoine.frostburg.edu/chem/senese/101/features/capsaicin.shtml