DD loves to try getting her index fingers in her mouth while nursing. It IS awfully cute. But it's uncomfortable for me so I won't let her do it-- we hold hands when she's in the mood to nurse her fingers.
Mine does it as well. She tries to fit her fingers in her mouth with the nipple. I hold her hand and stroke her fingers and most of the time she's okay with that. When she's very tired or grumpy, though, she gets mad when I try to stop her sucking her fingers or rubbing her eyes. Silly girl.