i suck/chew my finger when i am tired or stressed or feeling uncomfortable or in pain, it is a security thing but also takes my mind away from the pain or whatever i am feeling. problem is though i am in pain and tired most of the time, and although i try not to do it in public, sometimes the urge is just too strong especially when in meetings where i have to concentrate, so my fingers get very sore. i have to admit that to prevent them becoming too sore i have reverted to chewing a pacifier when i am home alone purely for the practicle reason of giving my fingers a break!
sucking your thumb is obviously something you do because you get some form of comfort from it, so i see no problem with that, everyone needs comfort and security in some form.