As already mentioned there a lots of information about hand quilting, thimbles etc. here on the board and you also find little videos on Youtube.
IMHO you can't do something wrong. The result is what counts. Hand quilting is like hand writing - every quilter has to find her/his own way and there are many different ways to reach the goal. Just try it and find out what works best for you!
BTW - I don't use a thimble at all and my fingers are not sore.