Here is a link to the style of old fashioned stainless steel lancets they use:
Correct.
Remember, they are meant to draw a bead of blood. You need something sterile if you're going to penetrate your skin. Otherwise you're basically injecting bacteria into yourself and begging for an infection.
They run about $9 for 200 on Amazon.
Make sure you get the stainless steel and not the ones that have a plastic base to go in a "tool".