What lancet device are you using?
I have tried a few, like the ones provided with GlucoRx and SD Codefree, which use the same lancet, and also Accu-Chek's "Fast Click".
First two have thicker needless, and are more painful in my case.
Of all, the the Fast Click is truly nearly painless, needles very, very thin, you could barely see them in the cartridge and if you spot your less sensitive ares on the sides of your fingertips, it should be better
I have extremely sensitive and thin skin, using a maximum penetration or 1.5 on my devices.
Hope this helps. Take care