I've been stabing my fingers now for just over 21 years and don't have any problems...
The modern lancets are sooooo much better than the first ones, that where a flat piece of stainless still oblong at one end it slopped to a point, at first there was no gadgets you just stabbed your finger, which would take me ages and several missed attempts to get the courage to do it with my finger held agains the edge of a table... When they introduce a gadget this wasn't much better either, it was violent indeed, and believe me for 9 months while I was pegnant I had to do this 5 times a day... By the end I could have cried my poor little fingers were so sore..
Just keep rotating your sites and you shouldn't have a problem, I have a bad habit of using my little fingers a bit two much they aren't sore at all, but have little marks where I've over used..
You can use alternate site, but you need to be very careful though, as using forearm etc can give a much different reading to the fingers... Your fingers will give a more actuate reading of your blood glucose where as on the forearm etc, there is a time lag to the reading you obtain so you could either be a lot lower or higher than what your meter is telling you...
As Ken says using a alternative test site you MUST speak to your diabetic team before you venture along this line of testing