Originally Posted by cderocco
I am testing on his ear.
You may need to warm up the ear beforehand. Try rubbing it vigorously for a couple minutes, or else make yourself a rice sock by filling an old sock half full of rice, which you can warm up in the microwave for 30 secs or so (depends on how much rice you use, so start with less time and work your way up to something warm, but not hot). You can fold the rice sock around the ear for several seconds at a time until the blood flow increases.
Also, are you using a lancet device or doing it freehand? If using a lancet pen, you may need to put it on the highest setting at first, if you haven't already done so. Some people have better luck using the device freehand, poking at an angle on the inside of the ear, just along the edge. I personally prefer using a device (I have a diabetic cat). You need to use a fair amount of pressure with it though. Most people first starting out don't press hard enough. Put a folded Kleenex on the other side of the ear so you don't poke through to your finger. The Kleenex can then be applied to the poke hole to stop any further bleeding and prevent bruising.
There really should be very little pain with this procedure, so likely your pup's crying is more because he senses your discomfort, as mikischo mentioned. Treats will definitely go a long way to help the process. Even if you don't get any blood, give a reward and act like his participation in this is the best thing ever. He'll eventually look forward to have his blood tested.
What meter are you using?