I have a small, hinged lid, metal tin that I have marked "Sharps" on. I make sure to keep it out of reach of small, curious fingers.
I take it to my LQS ever time I take a class there, when I remember it when already going or when it is bugging me. They have proper Sharps disposal bins there and anyone is allowed to dispose of quilting Sharps there at any time. They have no issue with me walking in, dumping my Sharps and not buying anything or having a class or whatever. So that is how I dispose of my Sharps.
Tara