You can push a small bit of children's clay (like Playskool) inside the thimble to help it stay on your finger better. You can also try adding just a thin strip of tape (quarter-inch quilting tape would work well) around your finger before slipping the thimble over it.
Also, it helps to have several different sizes of thimble onhand -- especially if your fingertips have a tendency to shrink slightly when cold and swell slightly when toasty warm. If it's very easy for the thimble to pop off your finger, chances are good the thimble is too big for the current size of your fingertip. Millimeters matter with thimbles!