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Fortunately, although we call it pencil "lead," it is actually a carbon substance called graphite, not the metal lead, so there is no risk of lead poisoning. If it is a superficial puncture and you can see the graphite piece, you might consider an ER visit for possible fragment removal under local anesthetic or just monitoring at home after soap-and-water cleaning for signs of infection (e.g., redness, swelling, pus, discharge, tenderness to touch) as well as puncture healing and perhaps skin ejection of the fragment over time. If the puncture is deep (e.g., caused bleeding) and it has been over five years since the last tetanus vaccine, ask the ER doctor or your primary physician about tetanus booster immunization.
Pencil puncture reference: http://www.ncemi.org/cse/cse1107.htm