We had the same problem with one of our sons. Our oldest who is now 4 started to suck his thumb. It got to the point he was doing it all the time, and finally asked our pediatrician about it. She told us about this stuff called No Bite. You can get it at walmart. i believe it's in the fingernail polish isle. It has a really disgusting smell and taste. It's not harmful though. We used that, and it started to work. I stopped using it and then he started again. Last year he went to preschool, and that helped tremendously. Being around other kids his age, he saw that they didn't suck their thumbs and was probably too embarassed about doing it infront of his peers. His teeth are a little messed up too, but just remember, those teeth will eventually come out.
A little about me: I'm 25, SAHM, been married for almost 5 years. I have 3 kiddos ages 4, 3, and 3 months. (Two boys and a girl). Hubby is in the AF and so he deploys alot so i'm usually taking care of the kiddos by myself. He's suppose to be leaving this fall.