Sometimes a thumb can fit TOO well.  Also, most people don't clean thumbholes very often and hand oils can collect inside the thumbhole and create a vacuum.  So you may not be sticking, especially if you aren't seeing the result in a blister or callous on your hand, it may be a vacuum, and if it's a strong enough vacuum, you will see that on the cuticle of your thumb, it will be reddened and irritated.  Try just taking a piece of sandpaper and hitting the thumbhole lightly first.  Another good practice is to make a vent hole into the thumb (only possible by using a slug).  Find the vent slit on the slug, about a half inch from the bottom, drill a small hole about halfway through the slug.  Insert the slug and drill the thumbhole, then you have a hole that vents to the outside of the ball to eliminate the possibility of a vacuum.