I believe that to answer your question fully, your audience would need more details. Extraction and chromatography are very different processes for two separate tasks. What is your aim, preparative or merely analysis of capsaicin? You can sonicate the biomass in methanol and obtain a complete extraction. C18 would be hard to beat for analysis but I am sure C8 could be made to work.
Look at Wagner et al, Extraction, Purification, and spectroscopic characterization of a mixture of Capsaicins J. Chem Ed. 2011, 88(11), p. 1574-1579.
He extracted into toluene, my experience was that it made a 2-phase system from the water. Using the extraction described in the reference above, I did an initial purification using alumina (hexane/ethyl acetate gradient), the capscaicins were finally purified on C18. I detected the compounds with ESI+ MS
Also see: Schweiggert, U.; Carle, R.; Schieber, A. Characterization of major and minor capsaicinoids and related compounds in chili pods (Capsicum frutescens L.) by high-performance liquid chromatography/atmospheric pressure chemical ionization mass spectrometry. Anal. Chim. Acta. 2006, 557, 236–244 where he extracted into acetone, ran it on C18 with APCI+ MS detection.
You can extract capsaicin by using column chromatography by using two separate polar and non polar solvents by elution method. For this purpose you can homogenize the plant material either methanol or in water to obtain a crude extract of the green biomass. extraction. For this purpose you can use chili pods Capsicum frutescens. Now use TLC to have single spots for eluents and keep two sopts for control compound in form that is capsaicin. By comparison scratch it out the marked spot from TLC plate, dissolve it proper solvent and now go for GC-MS analysis or IR and UV analysis , You can also perform NMR of the sample.
If you want to compare the extraction methods you can use Soxhlet extraction, Microwave assisted extraction, Cold maceration and Sonication. You may use the attached pdf.
It depends the are many methods for extraction like microwave, maceration, ultrasound, magnetic stirring, etc , but chromatography it's used to isolate capsaicin, so you need to see if what you want is to isolate capsaicin or just obtain an extract that would contain capsaicin indeed but also other compounds