Thimbles are difficult to get used to because of the need for different sizes. Before I got into quilting more intensely, I tried thimbles and none of them seemed to work. One instructor recommended the Dritz adjustable thimble, it is plastic you put it in boiling water then fit it to your finger. They worked the best at the time. Always kept an extra one available in case the one I was using ran away, or decided to play hide and seek. Then I went to the Road to California show about 10 years ago and found TJ Lane's thimbles. They sell thimbles by size, not small-medium-large but actual sizes like rings. The ones I bought are silver and yes they were pricey - but worth every penny. Over the years I have bought 4 different thimbles. They fit and stay on my finger! The only weird thing I have found is that I have to lick my finger before putting the thimble on it - seems to hold it on better.
I have not used anything on my hand under the quilt. Maybe I will order some and give it a try.