I use the plastic Dunlop and Golden Gate thumb picks. My thumb is too wide for the size large, so I soften the plastic band in very hot water, and bend it until it fits just right.
When I bend the band, I make sure that the thumb pick stays snug enough that I can use it to play triplets on the wound guitar strings. But it doesn't have to be painful to be that snug, I think it just has to follow the shape of the thumb so that there's plenty of friction because the plastic touches the thumb in all possible spots around the diameter of the thumb.
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