I, too, just stab my under finger. It eventually builds up a callus as others have said. When I quilt I tend to 'rock' the fabric vs my hand, similar to the Thimblelady style but not quite. I also found I had better control with traditional 'between' needles vs her longer ones. I do absolutely love her thimbles. Find it so much easier to control the needle using the pad of my finger and the dimples are nice and deep on her thimbles as well.
The small stitches will come with time once you find a method that works for you. Consistency of stitches is really more important than size.