I can't imagine hand quilting without a thimble! Ouch!
I used to use a leather thimble until I pushed the eye end of the needle through my finger.
Believe it or not, my current favorite is a decorative ceramic thimble that happens to have a deep dimple. I also have an antique brass one that fits pretty well.
I guess the key to successful thimble use is finding one that fits without interfering with movement.