is he really skinny redish brown almost looks like hes translucent? if so put him back he won't hurt anything. don't touch one with your hand. each prick feels like a splinter and you will get alot of splinters if you touch one.
if on the other hand hes a nice orange and looks pretty fat and showy then you may have a bad one. i could tell if i had a picture. as fshub said some eat corals, gorgonians, but its kind of hard to tell alot of times. there are alot of garden variety kinds that are harmless. im willing to bet thats what you have.