I use ThimblePads, the little (3/8") self-adhesive leather dots that stick right on your fingertip. I do a lot of hand stitching, often through several layers of fused fabrics, and these pads have never slipped, never been penetrated and never failed me. They also work perfectly as a grip to pull the needle through any tough spots.
On the rare occasion that I hand quilt on the frame, I also wear one on my 'under' hand. They let me feel the pressure of the needle without actually sticking my finger. They can be reused four or five times before they stop sticking tight. I love them!