Thimbles, I have had so much trouble! The problem is that my hands are really just huge for a girl. No metal thimbles I bought, no matter how big, would fit on my finger.
Enter my DH, who actually cut a bigger brass one for me on his metal lathe. He indented the tip to accept the needle, and I covered it with a leather sleeve so that it would fit on my finger. I did have to coat the inside of the brass with clear nail polish so that it wouldn't turn my finger green, and I have to redo the leather covering every so often. Other than that, it works perfectly!