R.H.
Our pediatrician recommended the ThumbGuard/FingerGuard http://www.onestepahead.com/catalog/product.jsp?productId... for our son. We still have not tried it due to the cost, but like you, we have tried almost everything and nothing seems to curb this bad habit.
Here is more on the product by the company who created the contraption:
http://www.thumbguard.net/english/ourproduct.asp
I'm going to purchase that book Stacie recommended below before using the $70 guard. :)