Also worth mentioning, you want to pick them up when they're on the move, because when they park themselves, you will be both ripping tube feet and breaking spines if you just pull them off. Best bet would be to convince it to start moving off a rock and onto substrate or similar, so they're comparatively easy to lift up.
As said, though, there are a number of species that do have venomous spines, and you don't want to be picking up them if at all possible.