A lancing device includes a housing (10, 12) for receiving in use a replaceable lancet (34) introduced into said housing, a drive (58, 59) actuable to drive the lancet momentarily to project its tip from the housing, and a nose portion (14) having an aperture through which said lancet projects when fired. The nose portion is threadedly engaged (78, 81) with the forward end (10) of the housing to allow the penetration depth of said lancet tip to be pre-set, and is resiliently deformable between a position in which it is locked against rotation and a position in which it is free to rotate.