I have 2 quilts in progress with hand quilting and, yes, my middle under finger is taking a beating, but a nice callous is developing. I'm not as experienced as many others but I agree that it's best to feel the needle poke through.
That being said, I found a black leather thimble at my LQS the other day and find it's working well. I can still feel the needle and hear a little pricking sound as the needle is rocked backwards. It took a little while to get the feel right and maintain my normal stitch length, but so far I like it. There are lots out there but this one is Nimble The Soft Thimble by Joy Enterprises.
www.createforless.com carries them.