This brought back memories. I was teaching a beginner class and one of the ladies was having a terrible time adjusting to a thimble. I suggested she put it on and go about her daily work. The next week she came to class wearing her thimble. She told how she had gone grocery shopping and the checkout lady asked her why she was wearing a thimble? She said "I'm practicing for quilting class". After a couple weeks she came to class and from half way across the room, sang out, "I got it--it finally works". So don't give up. a leather thimble may be the answer for you. She has gone on to make some very lovely hand quilted projects.
Make sure the thimble you use actually fits your finger. If its to tight or to loose, you will have problems. It should stay on your finger when you hold your hand down, but not be so tight it hurts. Hope that helps.