Every state has different laws about this. You can buy a sharps container to dispose of, while others just stick them in an old milk jug. But also, the needles do have caps too which it seems like you could just put the cap back on and throw it away. But again, the laws vary by state so google that one and you’ll have to take care of that on your own, the pharmacy doesn’t help you with this.
I found this website here so you can look up the rules for your particular state and figure out where to turn the sharps container in: http://www.bd.com/us/diabetes/page.aspx?cat=7002&id=10284
Hope that helps!