You can alternate finger prick test sites to help alleviate discomfort.

If it gets to be a big issue, there are some blood glucose monitoring systems that allow you to get blood from other places besides your finger tip (like a forearm or thigh) which can be less painful for some people. This is an example:

http://www.abbottdiabetescare.com/fr...ng-system.html

There are also alternative lancing devices that are supposed to be less painful. Here is an example:

http://www.onetouch.com/delica