There are many ways to do it, so it is personal choice. Here is a google search if you need to know more. Here is how I do it. You are going to need two forks and a knife.
Place the prickly pear on a cutting board or a plate using a fork by firmly pushing the fork lengthwise into the skin of the prickly pear
With a sharp edge knife, cut of the two end of the prickly pear.
Now, cut through the skin lengthwise. The skin is quite thick, so you need to make a deep cut.
With the second fork, pull away the skin on one side from the inside of the fruit as far as you can
Now, firmly hold the fruit with the second fork by inserting the second fork into flesh of the fruit.
Remove the first fork and use that to peel away the rest of the skin from the flesh of the fruit.
The inside of the fruit is now free from the skin, so you can remove it. Place it on a clean plate
Discard the rests, and properly rinse all the utensils under running water before cleaning the next fruit
Wearing welding gloves also works well to handle the fruit To remove most of the thorns before hand, hold the fruit lengthwise between your fingers and gently rub the skin over loose sand. Rinse with water afterwards. Be careful when removing the gloves
A bottle brush or nail brush can also be used. Wearing gloves, hold the prickly pear in one hand while you scrubbing the skin of the fruit with the bottle brush/nail brush. Rinse under running water.
In both of the above cases, you still need to treat the fruit as you normally would as if it would still have thorns on.