When I was about 10 years old, I wiped out badly and pulled out bits of gravel for years. The last little piece of gravel worked its way out of my knee when I was 18. No kidding. My parents didn't believe in going to the Dr. and whenever my siblings and I got a foreign body in our skin they'd tell us to just "let it fester out." Usually, things would fester out much more quickly.

I'm a nurse now. If you've been to the Dr. and they've got out all they can under sterile/clean conditions, you ought to leave it alone and not pick at it until after all the swelling goes down. You don't want to give yourself an infection.