Nothing new that one can warm up with the chilli. Possibly less well known that warming anti-pain bandages use capsaicin, the chilli’s pungent compound.
Filling a syringe plus injection needle with cayenne and ink to plunge into one’s skin, in order to irritate the skin and make it look like one has a drug habit of years… that’s a new one. True Detective (now running on HBO) just went there, in Season 1 Episode 4, “We’re All Going to Hell.”
Sounds like it should work, but I wouldn’t recommend it. Especially not the way everyone seems to describe it: he is shown piercing his skin with the needle, yes, but I don’t think he’s actually “injecting himself with ink and cayenne.” That wouldn’t do him good, I fear. Then again, considering how things go on, it might not be the worst of a person’s problems… (Still not recommended, if I have to say it again.)