Are you sure your plant is wavyleaf thistle? There are a lot of thistle species, many of which are considered to be weeds, but wavyleaf isn't particularly weedy. Wavyleaf is a rhizomatous perennial so you wouldn't get any roots when pulling it up (it would also be futile to pull it).
Thistles don't produce toxins in their spines. However, the spines do have tiny barbs, so once they penetrate your skin, they do a lot of damage as you pull them out. The damage stimulates an inflammation reaction from your body (the swelling, redness, and pain).