The one on our wall was big enough that I determined a single Kleenex wasn't good enough. Instead, I grabbed a larger hand towel and used two hands to remove it from the wall.
The funniest part of this comes from my 6 year old daughter. Both of my daughters were staring at this centipede and standing very calmly in the room. They had no fear at all, although my 2 year old kept saying "Ewwwwww!". My 6 year old then proceeds to tell us that this is not an insect because insects only have 6 legs and it's not a spider because spiders only have 8 legs and this has more than 8 legs. There she is again, sharing her knowledge with us. Such a proud Mommy/Daddy moment!