Georgia Bonesteel had a segment on one of her shows with a woman who makes silver thimbles using the lost wax casting method. I have actually used one, and I thought it was too heavy to be comfortable. I would have to have a thimble cage for that if I ever purchased one.
One of the guilds that I belong to has a "Silver Thimble" award each year, and I could see purchasing a cage for it if I ever won it (chances are slim to none that this would happen)