P., Tuumb sucking is a really really hard habit to break. Not only is it a comfort thing, but it is also a physical thing. If you are a "thumb" person you have a physical sinsation in your mouth that makes you want to suck your thumb. People will tell you to try hot sause, finger nail polish, pickle juice, ucky hand cream, hot pepper juice...trust me when I say it won't work. Harrassing him about it won't work either. I was a thumb person until I was well into my teens and I know a lot of others that were as well and there are only two ways that I know of that actually work.
The first is to make him want to stop. No bribing (won't work) You have to tell him that he is a big boy now and that big boys don't have their thumbs in their mouths...and if he feels the need to suck his thumb he has to go to his room. (Since he is so little you might try a special chair that is in a corner where he can't see the TV and will be bored then as he gets older you move the chair). Give him a special stuffed animal to hold there. This method takes time and patience and consistancy. You also have to work hard at keeping that hand busy the rest of the day.
The second method is to go to your dentist/orthodontist and talk to them about a "cage". He is probably too little right now for this option. Most insurance companies do pay for at least part of this up to a certian age. Our orthodontist used this method for a couple of different reason on my daughter and it worked very quickly and completely. She had the cage for about 6 months and has never sucked her thumb again.
Watch your son when he sleeps...he may not be sucking his thumb all the time. If he doesn't TELL HIM. Hey honey, did you know that when you are asleep you don't always suck your thumb? That is really good!! Every time he takes a step you have to make him feel good about it. Even if it is only going to his chair without you telling him to. What ever you choose to do DO NOT MAKE THIS A BATTLE YOU WILL NOT EVER WIN THIS ONE!! If you want to talk about this more just leave me a message with mamasourse! I'll be more than happy to help as much as I can.