It depends on the laws where you live. In Pennsylvania, for example, hospitals and doctors are not required to take sharps containers (so many refuse to take them) and you cannot throw them in the garbage...so if you use one you are stuck with it forever. The rules actually say to use a hard plastic container, such as an empty laundry detergent bottle or a resealable coffee can, and fill it up with the used needles. Once full, tape it tightly closed and write "DO NOT RECYCLE" on it. Then toss it in the regular trash.
IMO, that is horrible, but it is the law here. I am worried the garbage truck will use it compactor (as they always do) and bust the plastic jug open, spilling needles everywhere in the back of the truck...but nothing I can about that.