There are a couple of options you can try:
1. Line your thimble with a layer of surgical tape. I try and make sure it's as flat as possible, and trim it so nothing hangs out beyond the thimble.
2. Stuff a little quilt batting in the thimble.
Sometimes if I need a little extra "glue" to keep the thimble from slipping, I'll lick my finger before I put the thimble on.
If you use the thimble for hand quilting, you might look into a Roxanne thimble - they come in lots of sizes.
I also have this link. I have never done business with them, but they do have yummy looking thimbles - not all of them expensive! - and a section on sizing thimbles:
http://www.thimblesetc.com/index.html
Good luck, and I hope you find what you're looking for.