Yeah, it's a splinter-prone wood to work with, because it's so dense and the fibers aren't very tightly held together (across the grain). But usually once it's been shaped and sanded by Warmoth, you won't get splinters. But you do need to be careful when working around sharper edges, such as the neck pocket and the pickup cavities.
When I was routing the middle pickup cavity I didn't have a lot of problems, because the router bit was spinning so fast (and I worked very slowly). But later on when I used hand tools to cut another piece of purpleheart to make a thumbrest, it did make a lot of splinters.