Cold water is bad and you shouldn't drink any water either if you don't want to have run to the bathroom 30 minutes later. My mistake for telling you that. But whenever I eat anything spicy, washing my mouth with warm water near hot will quickly stop it. It works, give it a try. At first the hot water will make it like 5x even worst but it will go away quicker than milk.
Edit* Family myth. Licking your knee does the trick to LOL