I don't think there is much you can do to stop it but I firmly believe in distractions!  When my nephew went through a stage of putting fingers in his mouth (he never sucked thumbs, but his finger instead!), I would distract him with a toy or by playing with his hands.  He doesn't do it so much anymore, unless his teeth hurt, but I find it's easy to distract him by giving him something he has to grab :)