wow... I am going thru the exact same thing. My son (who will be 5 in January) sucked his thumb with his lovie all the time, my daughter who just turned 3 does the same with hers I tried every trick in the book (outside the lovie fairy) to get my son to stop. They both see the dentist several times a year and she had asked if I had any concerns, I told her that I was concerned about his thumb sucking. Well, while he was being examined, she told him that if he stops by the next appointment, he would be able to pick out 2 toys from the treasure chest. Now, I tried doing this too, but it never worked for me.
Well, when he came out, he was all excited and said that he would stop sucking his thumb so he can get 2 prizes. When we got into the car (yeah, they both have one in the car too), he said he'd just hold it and not suck his thumb. I said fine.
That night, he sucked his thumb with it, but the very next day, he said he'd just sleep with it and not suck it. He did just that, the very next day he said he didn't need it at all.
a week before his next dentist appointment, I called and spoke to a staff memeber and told her how well he did and to please tell the dentist. She said she would mark his chart, but she said she'd call and leave a voicemail for my son. She did just that (it's been over 6 months since he stopped sucking his thumb) and he was thrilled to hear someone outside the family tell him just how proud they were of him. We still have the message and from time to time, he will ask to hear it again. When he does, he just beams.
Now, my stubbron 3 year old daughter, wants nothing to do with getting 2 prizes, candy, nothing. She just says she wants her lovie and that's it. Now, she already has an overbite (she sucks her thumb much harder than my son did). She just went to the doctor's the other day and I asked her if she can talk to my daughter about it and the doctor told her that there are lots of germs and she'd get sick. Well, all my daughter said was "no, i have to wash my hands every time before I suck my thumb, so it is clean and I wont get sick". The doctor was in shock and then looked at her finger and showed her 2 little lines and said these little lines are from you having your thumb in your mouth and the lines can easily open up and you will bleed. My daughter replied by saying it didn't bleed yet.
Now, her daycare provider has taken her lovie away and my son said Caitlyn sucks her thumb at naptime every day (something I really want to stop). So, right now, I don't think it's time, but when it is time, I think the lovie fairy will have to stop by for a visit or I will have to put Malva nail stop (it's terrible tasting nail polish from www.whatshebuys.com).
We tried telling her when she turned 3 she'd have to give it up on the day of her birthday she was sad and said she didn't want it to be her birthday. When I told her we'd wait to take it away, she gave me the biggest smile and hugged me like she never did. She was so happy that day.
Good luck!