I've done it twice with 2 different machines. Once in each forefinger. Luckily, each time, it was through the fleshy part and was able to get the needle out without any problems.
However, I had to have stitches in my right thumb because I sliced it with a rotary cutter. That required a trip to the emergency room with my neighbor and my two year old at the time (23 years ago). No retractable blades then. I guess that's why a couple of people have developed gloves to wear for rotary cutting. Still haven't bought one of those.