The suggestion in the manual of the lancet I used was to use the fingers on the less dexterous hand. It seems logical (but may not actually be correct) that you have more precise/sensitive feeling in the dominant pair.
I used to alternate hands, but I dislike pricking my tips on either hand. Using the other two segments of the finger doubles the amount of available segments so now I only prick the right hand, as I'm somewhat left-handed.
And as we're deep into the nitty-gritty: My device (Accucheck Mobile) shows the count of remaining strips when turning it on. If I take modulo 8 of that number I always know which segment to use, so I automatically distribute wear. Except that the cartridges start at 50, which means my index finger gets more pricks. I should really lobby Accucheck to make a cartridge with 56 checks! :-)
...more sinister hand
Hospital staff is surprised when they see where I draw blood but so far none told me to change it. I still let them prick the fingertips so they don't have to change their routine.