I used to bring back a month's worth of used syringes from Australia rather than try to find somewhere to dump them, much easier these days with only needles to dispose of (though unfortunately I'm not in Australia very often these days either!) I did tend to clip the needles with one of those clipper devices, but I'm equally not too bothered about needlestick injuries from my own used sharps. More recently I'd just leave the used needles (with both of the caps back on) in a plastic freezer bag (or 3) - they are in my hold luggage so I'm going to be delving in there without looking when I get back.
For lancets, on the off chance I did bother to change one, I'd pop it in a handy container (dead test strip container) and dispose of when I got home