When I started beekeeping I was told, as you probably were that: 1) I would get stung and 2) I should scrape the sting not pinch and pull.  The reason given was that the pinch method would squeeze venom into the skin.

Recently this was tested by researchers at the Department of Entomology, University of California, Riverside, CA 92521, USA and the Department of Entomology, Pennsylvania State University, State College, Pennsylvania, USA.  This work found that the speed of removing the sting was more important in reducing the venom injected than the method used.