It looks like vet wrap, only alot finer. Great idea. I always have vet wrap, because I have had to splint broken iggy legs to stabilize them before going to the vet. And re-wrapping broken legs when the bandages get chewed. It's amazing stuff. But too coarse for this. Sounds perfect.

It is a mesh that is very sticky, so forming it to your finger is easily done.
You can find it often in with other first aide supplies :D:D:D