Yes, I do and I have the other hand under it. Make sure the fabric isn't too taut in the hoop. Makes it easier to stitch.
I just bought these awesome "thimbles" called Thimble It.
They are ovals that you use on the quilting finger and I think you could also use one for the underneath finger.
I got them on ebay b/c I couldn't find them at Joann's.