A prick-me-dainty today is a person who is excessively finicky in dress, language and behaviour. The original prick-me-dainties were sixteenth century dandies.
The first part is from an ancient sense of the verb meaning to dress, specifically to dress in clothes that were fastened by pins or bodkins. Since these weren’t everyday wear, it came to mean dressing up or donning one’s finery. When Richard Brathwait wrote in Barnabees Journal in 1638 of a woman, “On Earth she only wished / To be painted, pricked, kissed”, you should not therefore infer a modern meaning.
As time went on, the connection with clothes became less prominent. Instead, a person so described was fastidious or over-particular in many aspects of life. (When the word first emerged, dainty could mean handsome, delightful, or fine, though it also already had the newer idea about it of fastidiousness or delicate taste. It would seem the term punned on these two meanings.) John Jameson wrote in his Etymological Dictionary of the Scottish Language of 1818, that a prickmedainty was “One who is finical in dress or carriage” [Finical is another word for finicky]. In 1822, the Scottish writer John Galt described one Bailie Pirlet in The Provost as “naturally a gabby prick-me-dainty body”, or in standard English a talkative and pedantic man. It has also been used to mean an affected, self-conscious, over-refined or mincing person.
The English Dialect Dictionary recorded the term at the end of the nineteenth century under a variety of spellings and noted that it was then limited to Cumberland and Scotland. Its last holdout was the Moray area of Scotland, where The Scottish National Dictionary recorded it in 1966.