I'm quite sensitive on my finger tips too, though obviously, I can't vouch for how similar to you...everyone perceives it differently.
I use OneTouch Ultrasoft lancets, they're 0.4mm, and not too bad. OneTouch also do Comfort lancets, which are apparently 0.2, so thinner should equal less pain/discomfort.
What I also do is, rather than test on the tip/pad of my fingers, which are packed with nerve endings, I tend to sample from the inside edge of the finger, imagining a line running from the nail cuticle around the finger and aiming in the middle of that line, facing me - less nerve endings, so theoretically, less chance of pain.