I use two layers of nexcare flexible clear tape, you can get it at the drug store where the bandaids are. Make sure it is the flexible clear and not the cloth or paper. I have been using it since I started quilting over 25 years ago. I have to change it every so often but works really good and you can still feel the needle. You can get it at walgreens. I put it over and around my finger where the needle touches and it will wear through after a bit. Here is what it looks like. You can also get it in larger rolls without a dispenser, it is cheaper.
http://www.drugstore.com/qxp75866_33..._x_252_in_.htm