Like anything else, this is about what is best for your daughter, so you have to decide how you feel about it and enforce your decision gently and patiently since it's a life long habit to her. Yes, habit-it's not about soothing anymore-even if she does it to sooth, she doesn't need to, it's a habit.
The reason the girls are making fun of her, is that many kids are taught it is not OK to suck fingers and thumbs when you're no longer a baby-possibly when their own habit was nixed by their parents. This isn't about those kids. Many parents aren't bothered by their kids doing it, so either thing you pick is going to be fine in society.
Either you think your daughter is mature enough not to continue this, and it would be best for her to learn to break a habit as a matter of learning and growing, or you feel she should keep doing it as long as she wants and be proud about it.
I'm in the same boat. My daughter has sucked two fingers since birth, and I've always found it adorable. However, now that she's three, I see that it's not adorable or necessary anymore, but I've been too lazy to urge her to stop.
We recently stayed with family for a month, and absolutely everyone thought nothing of telling her "No Fingers" because all of their kids and grand kids learned to stop that when "the time came" around two or so. I didn't protest, because I also felt she should stop, so I chimed in as well. To my surprise, she didn't mind at all being told not to do it. She liked fitting in with the big kids. She really tried, and as soon as she slipped, and someone mentioned it, she would removed her fingers. Now we're back home and I'm still working on it with her.
I know it will take time, but it's not hurting her to learn self control and to get praised for being good about learning to stop. I'd like it if she quit before school even if it takes effort.
If you decide to help her quit, I would keep it simple and not about big broad self esteem issues and standing up to bullies or being a baby. I would make it about being a positive step in her big girl life. Keep the command simple, "No fingers". Don't tell her about being a baby etc. Give her a big huge hug every time she takes her fingers out and think up fun things to do when she stops for longer, and don't sweat it too much. Good luck whatever you deside! I hope this doesn't take long for my sake.