Ummm... I knit this way, apparently it's called Welsh, and I have never had to change my style for thicker yarns.
I understand what your saying where the working body of your piece gets caught between your thumb and forefinger, used to happen to me. I'm not really sure how to put this in words best, but what I do is just let the work keep moving along (you might have to let go of the needle at first, scooch your work across, then put your hand back into position - although I don't even notice this transition anymore I just lift my thumb at a particular point to give the stitches some leeway), so that your work sorta 'cascades' over your thumb instead of getting hooked on it, so your thumb will sit in its usual pencil position, but sorta snugged underneath the piece, kinda like it is a waterfall going over your thumb. Works fine for me, and I've been doing it for 2 years now.
Forgive me, but I've just woken up, and eloquence doesn't seem to be on the agenda this morning :shrug: