We had to wean our four year old from thumb sucking. It was causing dental issues and had to stop. I still contend that that period was a heartbreaking moment for me. He only did it at night, but it killed me to hear him cry when we put the thumb guard on. His security blanket made him suck his thumb more, so we had to get rid of that too. I always said a pacifier addiction would have been easier, because you can take that away, but a thumb is kind of attached. It doesn't make the process any easier on the emotional side though.
We started by explaining why he had to stop. We didn't refer to age or being a baby, we kept it about his teeth. "Your thumb is pushing on your teeth and it is going to start hurting your teeth. You can't feel it right now, but you will start to feel it when you get bigger. And we need big healthy strong teeth." Admittedly my BIL is our dentist, so it helps that his Uncle helped drive the point home for him.
I have to admit, we wound up bribing our kiddo. At the time he was wanting to move up from Duplo legos to the smaller Legos. So I bought him a larger set (he was into Toy Story at the time, so that was what we got). We put it on the fridge and told him that after he went two weeks without falling asleep with his thumb in his mouth, he could have the set. 14 days with no forgetting or accidentally sucking his thumb. We put 14 large yellow post it's above his door. Every night before bed we'd put a small post it on the big yellow one if he was successful the night before.. If we caught him sucking his thumb while he was awake, we gently reminded him and after he fell asleep we would take down the small post its. We were VERY gently about the small post its being removed. Once he saw that we were sticking to the rules, he worked VERY hard at not sucking his thumb or pulling the guard off. After he made it a full, uninterrupted 14 days, we celebrated with ice cream sundaes and he got the toy.
It took him about a month. After he stopped falling asleep with his thumb in his mouth, the night time thumb sucking stopped about two weeks later (he kept wearing the guard). We were careful not to go overboard with the cuddling and sleeping with us. We were afraid of creating a new habit or problem...because it would have turned into an issue with our kiddo.
I know some will disagree with the idea of a bribe, but it took some of the sting out of it for all of us. Our four year old had some control and motivation. It stopped some of the heart break and tears in our house. It just made the whole transition easier.