It was a great line! And I loved the whole series actually, good music, a lot of fun, and well acted.
The character of Wednesday hates to be tickled because it would compromise her sullen manner. Her whole persona is based upon being serious, unapproachable, for someone to even attempt to break that by tickling her, or if she let herself succumb to a ticklish giggle, it piss her off to the point where laughter would not be an option sadly. You would indeed lose your finger first.
I truly hope the next series will test my theory and all fingers remain safe while she collapses in a rare fit of uncontrollable laughter.