As O. Henry details in "The Cop and the Anthem," Soapy has no desire to take advantage of charity, much preferring to spend the winter months in prison. As the story tells it:
In Soapy's opinion the Law was more benign than Philanthropy. There was an endless round of institutions, municipal and eleemosynary, on which he might set out and receive lodging and food accordant with the simple life. But to one of Soapy's proud spirit the gifts of charity are encumbered. If not in coin you must pay in humiliation of spirit for every benefit received at the hands of philanthropy. As Caesar had his Brutus, every bed of charity must have its toll of a bath, every loaf of bread its compensation of a private and personal inquisition. (O. Henry)
This excerpt describes Soapy's outlook on charity. Soapy is proud, first of all, too proud to accept charity. Additionally, he tends to view charity as humiliating by its very nature. There is a sense here, especially in that last sentence, by which the acceptance of charity opens a person up to judgment, on the part of the people who are offering that charity. Soapy himself would rather do without this experience, and so he figures that it would be more agreeable to get himself arrested, and spend the winter months in jail.