Geez, she's only 4mo., let her suck her thumb. My son who is 15mo only sucks his thumb at night or if he's really tired & ready for nap/bed, he'll suck it. It's a comfort thing for them. Wrap it with what? Take the chance of the wrap coming un-done & having your baby choke, no way! I wouldn't worry about it.
Here's parts of Answer/Question article that I found about a 3yr just starting to suck her thumb:
According to the American Dental Association, thumb sucking does not cause permanent problems with the teeth or jaw line unless it is continued beyond 4 to 5 years of age. As it turns out, somewhere between 85% and 99% of children have finished thumb sucking spontaneously before this period.
As you have observed with your daughter, the most common time for sucking is when children are tired, bored, or in need of comfort. Often these children fall asleep more easily, are able to put themselves back to sleep at night more easily, and sleep through the night much earlier than their peers who do not suck their thumbs.
How do you get children to stop?
Children have control of their own thumbs when you are not looking. Pressure applied against thumb sucking can turn a natural developmental phase into an ingrained habit.
Instead, you want to create an environment where she chooses to stop on her own. You can weaken the thumb-sucking habit by distracting her when you notice her thumb in her mouth. Engage her in a way that she uses both hands.