Hi M.!
I remember when my sister was young, she LOVED her thumb, too :o) She sucked her thumb until she was in 3rd grade, or something outrageous like that. BUT, when she was entering into kindergarten, my mom told her that because she was a "big girl", it was time to keep her thumb sucking in her bedroom. She related it to being tired. So, when my sister was tired, she began sucking her thumb. My mom would gently say, "It's ok if you want to suck your thumb, but you need to go lay on your bed if you want to do it because it means that you're tired".........
Years later, when I became a mother, my oldest was addicted to his pacifier. I remembered how my mom handled it with my sister. I didn't want to take the "need and security" away, but it was time begin diminishing it's use.
I told my son that sucking his pacifier was only something he could do for sleeping or resting on his bed. It worked. Of course he would go to his room and do it instead of arguing with me, because he was old enough to understand that he really wanted it, like your son :O)
Eventually, it became a thing of the past in the most loving way....when he was ready to "let it go". The same for my sister. Nobody knew she sucked her thumb for so long, except for our family. My mom knew that she had a need for this, more than any of us other kids. Instead of completely taking it away, she allowed her to keep this security, but to only "use it" when it was supposed to be used for.....soothing at bedtime.
I think your son can do it this way. It will take a few days of gentle reminders, but he is old enough to catch on. This way, you don't have to go through as many tears.
I hope that helps you come up with a way of handling your situation.
~N. :o)