Answer:
They quit using actual lead in pencils a long time ago, so I'm betting that what is under your skin is just graphite, which is harmless. Still, it may be a good idea to watch your finger over the next week, and if it gets red or sore, talk to your doctor. But don't worry, I myself have had a small piece of pencil lead in my finger for over a year and a half, so you should be fine.