I always use a thimble. The end of the needle hurts when it pokes my finger and I don't like that. I love these thimbles:
http://stores.delphinesquiltshop.com...ble/Detail.bok I have about a dozen of them because when anyone borrows one I never get it back.
The Clover silicon thimbles are nice. They are my second choice.
http://www.clover-usa.com/product/69..._Grip_Thimbles
I learned this trick years ago. If you have trouble with a metal thimble not fitting your finger, buy a cheap one and using a hammer hit it until the opening is oval shaped. It makes 100% difference to being comfortable fit.