My son is a thumb sucker also. I did talk to his dentist because i was worried that it would mess his teeth up. He told me that it isn't till about 4-5 years old when the perm teeth start to come in that it can affect the teeth.
As for the dryness on his thumb, my son also used to get that every once in a while. It concerned me also, but I knew he used his thumb as a way to comfort himself. I never bothered with putting anything on my son's thumb, but anytime i catch him sucking his thumb throughout the day, i will either just reach over and pull it out of his mouth or tell him to pull his thumb out of his mouth. The first couple of times he was resistent. Now anytime I tell him to stop, he stops on his own. At the same time I also hand him a baby blanket. Kids need some way to comfort themselves. I have been replacing the thumb sucking with the blanket and it has worked out nicely.