(1) Background: Osteoid osteoma (OO) is one of the most common benign bone tumors. This type of osteogenic tumor is generally characterized by a well-defined lytic area with a vascularized central nidus surrounded by sclerosis and bone thickening. The wrist and hand bones are infrequent sites for osteoid osteoma: only 10% of the cases arise in these areas. Standard treatments are surgical excision and radio-frequency ablation (RFA), both with advantages and disadvantages. This study aimed to compare the two techniques to prove if RFA could be a potential alternative to surgery in the treatment of OO of the hand. (2) Methods: Patients treated for OO of the hand between January 2011 and December 2020 were evaluated and data was collected regarding the lesions’ characteristics and the treatment outcome. Each patient was followed up for 24 months and VAS pain (Visual Analogue Scale), DASH (Disability of the Arm, Shoulder and Hand), and PRWE (Patient-Related Wrist Evaluation) scores were collected. (3) Results: A total of 27 patients were included in the study: 19 surgical and 8 RFA. Both treatments showed a significant improvement in pain and functionality. Surgery was associated with a higher complication rate (stiffness and pain), while RFA was associated with a higher recurrence rate (2/8 patients). RFA allowed for a speedier return to work. (4) Conclusions: We believe that osteoid osteoma treatment with RFA in the hand should be an available alternative to surgery as it allows rapid pain relief and a swift return to work. Surgery should be reserved for cases of diagnostic uncertainty or periosteal localization.