I have tried a knitting thimble, and didn't really like it.
I prefer to have each ball in a separate bag, and one on my right, which I knit with my right hand (the background color, as I tend to knit tighter english) and one on my left, that I knit conti (and since I knit a tad looser conti, the pattern stitches "pop" a bit more!).
I have a question though - posters above talk about "turning" - I thought all fair isle was knit in the round? I do that turn opposite directions when striping, but for fair isle, because I'm knitting in the round, I just keep background color on the right, pattern color left.