Sore Fingers!

Set the lancing devise to the lowest setting possible to draw blood, this will ,make it less painful and prevent your finger bleeding for evermore. Also remember you don't use the tip itself, it's the side of the finger that you should use.

Good advice from Nobelhead, also you might like to try using different fingers and it helps to sometimes wash the hands in warm water before-hand and then dry the hands thoroughly as this improves the circulation and blood flow to the fingers.
If you eventually run out of fingers to test (using the 10 fingers and the sides of each finger) then I'm told that the earlobe can also be used, but I would think that is more of a problem in lining up the Lancet device and obtaining the sample drop of blood and probably not worth the bother though it's less painful at this spot.
I'm also advised that if your skin tends to be a little hard or dry, then the faintest smear of petroleum jelly applied after first washing the hands in warm water and before lancing will also help and it won't effect the final reading.

try to make sure your hands are warm and hold them down at your side for a few minutes before testing.