If the splinter is too small to pull out of your skin with tweezers then yes you can use some vinegar or olive oil to help soak out the splinter.
To get a splinter out by soaking it take a bowl and fill it halfway with some warm water and then add some vinegar to mix with the warm water.
Then place your finger in the bowl and allow it to soak for 20 to 30 minutes or until the splinter comes out.
The warm water and vinegar will help to naturally draw out the splinter.
You can use plain warm water to soak your splinter out too but I found for me it worked better when I used some vinegar with the water.
You can also soak out a splinter using olive oil but I've never tried it.
If you still cannot get the splinter out then eventually it will come out on it's own.