My pharmacy will not take sharps.
The advice I was given when first diagnosed was to put my sharps in a plastic drinks container and put it out with the rubbish. I agree this is not great advice but if you return the cap to your lancets (the plastic bit that you pulled off) and put it in a thick bottle with a sealed lid (I actually found a washing liquid bottle was thicker than a water bottle), the risk is low.
Another option is to use the FastClix lancets. These require a dedicated stabber which comes with many Accu-check meters. I got my last one from the free meter diabetes.co.uk offered last year.
The FastClix lancets come in a barrel of 6 spikes which are only extended when you press the button and you cannot get at them once they are used. This means, the risk associated with disposing of sharps is significantly reduced. And you don't have to carry a stash of lancets around with you.
I am not sure how the price rates compared to the traditional ones. But when comparing, remember that FastClix give you 6 lancets per barrel.