I use Thimblelady's cone thimble for my finger. She also sells thumb thimbles (they look pretty expensive to me). I haven't tried her thumb ones.
http://www.thimblelady.com.au/catego...ools/Thimbles/
I tend to hand quilt in a hoop, so I don't need to quilt in different directions - I just turn the hoop.
I'd be really interested to know what you decide to do - please keep us updated.