Yes, I hate it when I have a hole in my finger - but fortunately I don't have one! :) I think the callouses are strong enough after years of quilting and it's also a matter of holding or guiding the needle.
I know my method looks a little strange to some quilters or too boring because I only do single stitches or it seems to be too slow. But I like it that way and for me the result counts. It's not so important how you reach it.