I use the rubber fingertips usually associated with paper sorting or paper $$ counting. A box of 12 or so is just a couple of $$ in the office supply store. Stays on my fingertip with no issue and don't have the bother of picking up/putting down.
That said, as others have asked...what brand/size needle are you using; what thread; what batting. I use warm & natural batting all the time - even though many others have issues hand quilting it, I don't seem to. I use Roxanne #11 or #12 needles. Thread, not so picky...whatever brand happens to have the color I want for the project I'm doing. Experiment with different brands/sizes of needles and different brands of thread. Make sure you are using a specifically labeled hand quilting thread. I find that 'thread heaven' - a thread conditioner - helps the thread slide through the layers a bit better as well.