Firstly, don't allow yourself to be dehydrated.
Wash hands in warm water, and ensure your hands feel warm afterwards (by warm, I mean they aren't cold). Dry them well, then shake your target hand fairly vigorously.
As suggested, it is important to have your lancing tool set properly, so that it does puncture your finger, but doesn't cause pain. I find it more comfortable to have my lancing device set a notch high, but only just having the device on the finger, rather than holding it firmly to the fingertip. That way all I feel is the recoil for the device firing off, but no great stabbing sensation or trauma.
Some of it will be trial and error, but hydration and warm hands are at the core of it. Good luck!