I don't feel that mine is large enough to want to snip yet, but they do look so cool (especially in full color).
I've never had an issue with the sap (although, I'm careful not to get it on my skin). My Mother had an 'African Milk Tree' and developed a blister on her arm from the sap. I'll say to beware of 'Pregnant Onions' though. Not related to Euphorbias as far as I know, but I snipped part of a leaf off one day, got some sap on my arm, and within minutes, that part of my arm was red and burning!
Planto