If they don't stay on your finger, you need a different size. I have bought and tried many thimbles, from $17 thimbles from quilting celebrities to different leather ones, to exotic space-age plastic ones from some vendors at one of the Quilt Markets, but in the end I wear my $1 Safety Thimble. If you want to use a thimble (and I do, not only for quilting but for all of my handsewing of every kind), then you have to get one that fits. It should remain on your finger if you wiggle your fingers, but it should not pinch your finger at all. Wear it all the time for a while, to get used to it. If you don't want to use a thimble and you have a method of stitching that works well for you, then don't bother.
The problem with many thimbles is that they are too cumbersome, and it's hard to get used to them. A thimble should be small enough that it doesn't come anywhere near your knuckle. It shouldn't interfere with the free bending motion of your finger.