@larand a lancet is very different than the needle they use to extract blood from your veins. Also, you're in control with the lancet.
That said, I think for me at least, it's entirely mental. When I got stitches in my finger last year, I observed that even with anesthesia, I was still feeling pain when I watched them do the work. When I looked away, didn't feel a thing.
// @skematica @hazardwarning