I use these cheap ones from Hobby Lobby (though I recently stocked up at a quilt show)
http://shop.hobbylobby.com/products/thimble-714303/
I get the small ones - I have small fingers, but they fit pretty snugly. I like it that way, though. They're flexible, so they don't hurt my finger or slip off.
And I can lose one without having a total heart attack.
Believe it or not, I tested several other thimbles (but not any over $15) at that quilt show, and stuck with the cheapo ones I already used. For the price, they can't be beat, and I preferred the feel.