I always use the lancet on the sides of my fingers not the tips, as these tend to become sore - given the tips are unavoidably used to for other things (e.g. typing!).
It can also be difficult not to use different fingers and I have to remember to also use my left hand, as I seem to naturally go for my right - and usually fingers 2, 3 and 4, at that.
I've developed a system, however, of testing on one hand one week, and reverting to the other the week afterwards. It's worked so far, though to be fair I have only been testing for 10 months or so .....