"My 4 month old girl is a real sucker - but only sucks my breast or finger. I've tried 10 different pacifiers and she refuses them all. I try almost daily as sucking on my finger anytime she's tired or fussy is a real drag for me. So far she has no interest in her own thumb - I'd by happy with anything other than my finger!
She wants to suck my finger essentially when she's cranky, tired or needs a cuddle. Really any time she needs calming or soothing. She can have her eye's closed tight and still know if my finger is near and quickly move her head to catch it. If I don't let her soothe on my finger she'll scream in displeasure.
Outside of this she's a great baby and even sleeps through the night (11 hours straight, 90% of the time!) most nights. She's very healthy and gaining well, 100% breast fed. Only other trouble is that to sleep during the day she's in my arms - but crib at night (goes in asleep). As you can imagine she refuses a bottle too."
I'm going to work backwards on this question. I don't think the sleeping in your arms during the day is anything to worry about, since she'll probably grow into naps more as she gets closer to 5 months. Many kids at 4 months don't take naps longer than 20 minutes in any location, so you're already a little ahead of the game. All you'll have to work on is location, and I wouldn't worry about that until after you've got the finger-sucking thing resolved.
I also don't think there's a thing wrong with going into the crib asleep. IME the less stress you put on a kid's own resources to get to sleep, the easier it'll be for them to go to sleep on their own later on, because they associate sleep with snuggly comfort.
This finger-sucking thing sounds like an enormous pain! I'm imagining you trying to sneak away while she's sleeping, only to have her reach out and chomp for your finger like a toothless shark.
I'm pretty sure the ship has sailed on her sucking her own thumb, if she's 4 months old and won't do it by now. So I think your only chance is to try to get her to switch to a pacifier. I'm not going to be super-helpful with this, since my first took a pacifier at three months (before three months he absolutely refused, but at three months he took one easily) and my second one never took a pacifier (although when he's not sucking your finger, that's not a big deal).
The one thing I can think of is that it might help her accept a pacifier if she was a little more calm before you tried to make the switch. Have you tried giving her any homeopathic chamomilla? Homeopathic remedies are perfect for babies and children because they have no side effects whatsoever (the remedes are in sugar pills and are in such small doses that they couldn't have any side effects unless you swallowed a few whole bottles). You can buy chamomilla pellets at a natural foods store (there are several fine brands, but I usually get Boiron because they're easily avaibable to me). Get Chamomilla 6X. (The 6X is the dose. If you can't find 6X strength, get 20c or 30c--whatever they have--and dissolve a few pellets in some water, then put a few drops under her tongue.) When your daughter gets fussy, put a pellet (it's a sugar pellet, so she probably won't reject it) under her tongue and let it dissolve. If it's going to work for her, it should start working in a few minutes.
If you can try to make the switch when she's a little calmer, it might go more smoothly. In the old days, people would put a little honey on the pacifier to get the baby to suck on it. We obviously know better now than to use honey, but you might try putting a few drops of breastmilk to see if that helps. Or you could try putting some sugar water on your finger for a few sucking sessions, and then putting the same sugar water on the pacifier to make the switch.
The other thing to ask is how your partner (if you have one) soothes her? Will she take a pacifier from him/her? Sometimes nursing moms don't develop any other repertoire (I'll be the first to stand up and raise my hand here, even after two kids) because the milk jugs solve almost any problem. When you hit a problem that can't be solved by a nipple, you've got nothing. I've learned to watch what my husband does to see how to calm my kids without nursing them. Your partner may have some trick to calm your daughter that you haven't tried. Or maybe your partner's also got the finger-sucking problem, in which case I'm going to give up and open it up to the readers.
Did any of you successfully make a switch to a pacifier? How did you do it?