My 4 month old self soothe herself to sleep by sucking her fingers as well. I try to get her to sleep by putting a comforter next to her but she still ends up sucking her fingers. I don't think there's anything wrong with our babies sucking their fingers to sleep - when they are awake, perhaps always tell them not to suck their fingers so they won't make it into a habit. FUN FACTS: I noticed girls tend to suck fingers more than boys. My boys never did suck their fingers. I wondered why...
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Singapore's baby and child sleep expert