I love to hand quilt and can't imagine that one would try to push that needle through layers of fabric without a thimble.
Having said that, I remember learning to use one and did all of the things mentioned -- used a different finger, stuck the thimble finger up in the air, etc. It was the pain of pushing the needle through several different layers in that rocking motion that finally made that thimbled finger stay where it should be and used as it should be. Practice practice.
As an althernative, there are several new types of thimbles now. I've tried several and because I learned with the good old metal one, that's what works for me. However, if I was learning now, I would pick one that was a little more hip and stick with it till I learned how. In my opinion, my hand quilting is tigher when my thimble is on.
There are no rules. If it works for you not to use a thimble, then don't. As long as you are getting the result you want and you are happy with the result, the quilt police should leave you alone.