You don’t.
We have 5 kids, 3 are finger suckers (so were some of hubby’s family so maybe it’s genetic). Of the 3 1 stopped himself when he started school. The other 2 (aged 7 and 10) still do it. We regularly tell them to stop or pull their fingers out of their mouths, we’ve used the nail paint, taped fingers together (at his request) nothing worked but as it’s not affecting their teeth I’m not freaking out over it. I hope they aren’t still doing it when they get married lol.

You can buy that odd tasting stuff that is supposed to deter them? Anyone had any experience with that?

You say it is not related to anxiety since it is so frequent so maybe get a GP to check it since it could hamper speech development etc.. If it was related to anxiety the tips to check it revolve around helping the child feel less anxious (and gloves, confrontation, prohibition etc. don’t help with that!) You can try and make them aware they are doing it by asking and then giving them something else to soothe like a toy or blanket; prohibiting it generally provokes anxiety and will make it worse; recognize and praise when they aren’t doing it; try and explain this isn’t something that you do now you are growing up (eg ask whether Bob the Builder does it, or some other role model!) and help them see it is something they should want to stop and let them know you are there to try and help them…and other ideas at http://www.webmd.com/parenting/features/9-ways-to-wean-a-child-off-thumb-sucking#2