I love spicy food, douse most of my food with habanero sauce, and regularly complete hot wing challenges. I've also been pepper sprayed - just to see what all the hubbub was about - and I didn't notice any immunity. Maybe it wasn't as bad as it would have been for someone who doesn't eat spicy food, but it still made my eyes swell shut, and pretty well incapacitated me.
YMMV
