I think it depends on how deeply embedded the BB is.
I've had a chunk of BB that got stuck in the soft meaty part under my jaw, once (BB shattered, tore skin, half a BB got stuck under there without me realizing it at the time).
When it started healing, I could see the lump as well as the white-ish color of the BB under the skin. Since it was right under the skin, I cut an T-shaped incision with a clean X-Acto knife and managed to extract it with tweezers (don't try popping it out like a zit, you'll cause additional tissue damage and most likely scarring/pitting).
Since it's on your hand, you might want to do it under a stream of water which will help wash blood away and allow you to see what you're doing more easily.
Disinfect the wound carefully after you're done (both for the back alley surgery you just performed and because who knows where that BB had been before taking a vacation inside your body).
If it's embedded deeply (where you have to press the skin in order to feel it) seek professional medical assistance. There's all sorts of stuff you can damage if you go mucking around without knowing what you're doing.