Another mamasource mom said it well: "if hot sauce or other nasty flavors worked, no kid would still be sucking his or her thumb."
There's some great advice in the Dr. Sears discipline book. There are several different tips. My favorite was, teach him to hold his thumb in his fist for that nice, comforting, secure feeling, and, meanwhile, to suck on his tongue. It mimics the thumb-sucking feeling but doesn't harm the teeth and is discreet. After a while, he will drop this replacement habit whenever he is ready, but at least it is harmless in the meantime.
Give him lots of love, encouragement, and reassurance that you two are a team on this. Whatever you do, don't make it a stressful thing, or an Issue :) Let the slip-ups happen. The thing to focus on is overall progress.
In general, try to keep things low-stress for him while he is transitioning to this new habit. Try to minimize outside obligations, keep to the routine, keep things nice at home, give lots of extra cuddles, and when you're feeling tempted to do some project or chore, just give him your mama love, instead. Play with those choo choo trains!
Have fun!
L.