You should probably try to go with 21 gauge -- slightly larger, they make a larger incision (better for getting a good sample). Most will work in the lancing devices.
If you look at the single use lancing devices, you'll see that they're usually 21 gauge (although I also bought 23 gauge VETERINARY single use lancing devices and they also worked well). If you're using a lancing device that accepts lancets, you may have to experiment with depth settings in order to get the right amount of blood. Also - be sure to make good contact with the skin being lanced - sometimes not pressing into the skin enough will get you an inadequate incision that doesn't produce enough blood for a good test.
I use Pellicle's dental floss technique for making sure to get a large enough drop. (Basically, wrapping the tip of the finger that you'll be incising with dental floss, pulling the floss tight enough to constrict the blood in the fingertip. Works for me every time).
