There is a sticky wax that is used to keep candles straight in candle sticks - it does not harden and you use a small pea sized portion on the candle base and press into the holder to keep the candle from leaning in a large holder. This would most likely work inside a thimble to keep it on your finger and not be uncomfortable/irritating or bulky feeling on your finger.
It is in small round tin called "Stick-Um Candle Adhesive" by Craftsmen's - they also have other products for furniture scratches, white rings, marble cleaner etc. - I am not affiliated with this company - just love their products and use them for different furniture calamities.
I think this product would work really well because it doesn't harden and is very pliable - doesn't leave any residue and can be easily removed (washes off with hot soapy water). It would feel like there is nothing different about the inside of the thimble when you use it.