How to choose alcohol solvent for organic extraction?
The optimal solvent will extract the greatest amount of desired product and the least amount of difficult-to-remove substances.

The extraction is only the first step; separation from solvent and other extractives follows. Try one, then another solvent to see if there is a difference. Maybe number of carbons or hydroxyls is important; you can also mix alcohols, and/or add water. 

Capsaicin has a phenolic group; perhaps it would be extracted from its source with alkali (NaHCO3 or Na2CO3).