I've never tried it but I'm told the best way is to rinse them with Dawn dishwashing liquid & then rinse with cold water. Dawn dishwashing liquid contains grease and oil cutting compounds, warm or hot water may kick up the burning feel of the oil.
Other advice from this site http://www.jalapenomadness.com/jalapeno_faq.html says Try rubbing alcohol first to remove the burning oil. Then, soak the skin in milk or another dairy product. Only use water or saline for your eyes, however, and please remember that the best way to combat the chile pepper heat is to use rubber gloves when handling peppers.
Also, this was suggested by a poison control center for those times you do not have a dairy product on hand: Wash the skin with warm, soapy water. Rub the skin with vegetable or olive oil and let set a minute. Rinse.
Jalapeno juice has a very high oil content. You should be able to clean it off with dish washing liquid such as Dawn. Another way to get rid of anything with high oil content on the skin is to use a facial cleanser that is formulated especially for oily skin. If you have any face cleansing pads, this would be a great thing to use, especially if it has a very gentle scrubbing side. This should do it. In the future, wear gloves or try coating your hands in a little bit of vegetable oil to prevent the juice/oil from the peppers getting into your skin.
One way to remove jalapeno oil from your skin is to wash it with lemon juice. Don't have any, you can use rubbing alcohol.to was it. Don't have any of that either, you can use milk. If you don't have any of that, you can try rubbing it with yogurt, ice cream, or any dairy product. For more see http://www.jalapenomadness.com/jalapeno_faq.html
Thoroughly wash your hands with soap and water. Then, wipe them down with rubbing alcohol or hydrogen peroxide. Then, use a pumice stone, and rub the skin where there was contact with the jalapeno. Wash thoroughly again. Apply hand cream. You should be good to go!