You are definitely not supposed to do this, but I've had no problems after about 3 years. Best setting spray advice I ever got was from a drag queen, and she said to use got2b glued hairspray.Â
Hold the can as far away from your face as possible, close your eyes and do not open them until it's dry, do NOT breath when spraying, and quickly apply a light mist avoiding lingering on any particular spot too long. NOTE: It gets sticky if you use too much!! LIGHTLY spray is the key here!! Also I would not recommend this for every day use, I use it for costume makeup and for concerts and stuff.
To remove: I use a cold cream and work it into my skin with a little bit of water, then use micellar water and a rag to remove my makeup as always.
Like I said, this sounds kinda sketch, but I've seriously never had any skin problems while doing this. Proceed at your own risk.