Our son is the same age and is also a thumb sucker.
He only does it now at bed time or when he's really tired. I know you'll receive advice on different things to put on their thumbs to prevent them from being able to suck it.
Our pediatrician gave us good advice: it's a self-soothing mechanism. It helps them to relax in stressful situations, and you certainly can't take it off, so your best option is to encourage them to only do it at appropriate times.
Most kids will naturally stop by the time they get into kindergarten - if not, the pressure they get from other kids will likely be reinforcement to find another coping mechanism.
Good luck. At this time, we're not trying to encourage him to stop.