I would recommend the aforementioned "use scissors and cut the leg off". They cannot really feel a cut off and will not register any pain from that either; and it will heal very quickly. I would also suggest wiping off the scissors with a paper towel and rubbing alchohol to avoid a particular infection...I can't remember the name of the bacteria, but it is harmless to humans, carried by most humans, and infectious in arthropods. Serratia sp. or something like that? (This may be wrong bacterial genus....)