Solid lead can't be absorbed through the skin, so don't worry about that. Also modern figures have very little lead in them, older figures have a much higher lead content.
When prepping figures and you get small pieces from filing, then its a good idea to clean this up, and wash your hands afterwards, as its conceivable, if not likely, they you could ingest a small bit. Certainly don't lick your fingers while filing lead figures !!
Just don't eat them and you'll be fine.
I suspect that if you ate a whole lead figure, it would probably pass through (so to speak) before any of the lead was actually absorbed by your body.