The author of the book Mother Nature is Trying to Kill You had a story like that; he managed to pick up a parasitic fly infection while abroad and had to convince health care workers to cut out the larvae from under his skin.

Botfly. Don't cut, they dig deeper.

The proper solution is a thick layer of petroleum jelly over your skin. The larva has to come up to breathe eventually (~hours). Use tweezers and grab it. Gross, but perfectly safe.