I use a thumb sock. It allows me to get in and out of a tight thumb hole cleanly. I would compare the sock to black slick tape, except with the added bonus of no direct skin contact. My current thumb hole is super tight compared to any I've had before, but with the thumb sock on I have no fears of hanging in the ball.
I've got small thumbs, and the large fits me very well. In about a year of use, I am still on my first pair of thumb socks, so they hold up very well. I've never had one come remotely close to coming off, as they fit skin tight and require a good pull to get off.
My only suggestion would be not to use a rough tape (white grip tape) directly next to the sock. I tried white tape for a little while before I had the thumbs drilled a bit smaller, and the rough tape can shorten the socks lifespan a good bit.