I wrote about my experiments with alternative site testing here:
http://www.shootuporputup.co.uk/2010/02/the-perils-of-alternative-site-testing/
They weren’t successful. But maybe other people have better luck.
The lancet device I have (it’s from a Wavesense Jazz) has an adjustable depth gauge – 10 digs right down to the bone. Also my meter (Abbott Freestyle Lite) gives you another 60 seconds or so to add more blood if its initial sample isn’t big enough – rather than just spitting out an “E6” (or whatever) error – which is hugely good if you’ve got freezing cold hands or rhino skin!