Skeat,
I use Mole Skin Plus. It is used for avoiding blisters on feet. So you can find it in the foot notions of WalMart. It is a soft, sticky pad that you just cut to size (very cheap). It is very flexible (I can even type with it on) and the needle goes through it very seldom. And the needle won't slip off it.
I just finished my first quilt bindings this Christmas and found it an excellent item to use. Try it before spending loads on a thimble.