1) Be very careful using a hot glue gun above your head (this rule applies to soldering irons as well), or any time the gun is pointed "up" - you risk having hot glue drop back onto your fingers/hand.
2) If you get hot glue on you - especially a large amount - do NOT wait for the glue to cool. Get it off as quickly as possible (preferably not with another unprotected hand).
3) Hot glue that is allowed to remain on your skin will remove a layer (or two) of skin. This is especially true as you try to peel off the hot glue.
I'll leave it to the experts to explain how best to treat flesh where the skin has been melted off. I ran my finger under cold water, daubed it dry, and applied Neosporin & a bandage to cover it. We'll see how that works out.
In the meantime, I'm discovering just how important that middle finger is (and not just for flipping off rogue hot glue guns). Hopefully, it won't be too much of a pain when I'm firing the steam locomotive tomorrow...