You wear a traditional thimble (usually on your index or middle finger) to protect your finger from the eye-end of the needle. If you use your index or middle finger to push the eye-end of a needle enough times your finger will get hurt; that’s where a thimble like this comes in handy. You can also wear a thimble for hand piecing to help push the needle through as you do the running stitch.

Source: Purl Soho