DH and I both did it as kids. Just like thumb sucking, but unfortunately MUCH harder to break! You might want to introduce a soother, just to give him something to suck on that will be easier to deal with when the time comes to give it up. To be completely honest (and I'm totally embarrassed to admit it!) I find myself still doing it occasionally when I''m really tired or feeling stressed. Believe me - my mother tried to get me to give it up, and now I'm pretty sure it's too late.
But at least it's a pretty harmless comfort method - no drugs, smoking, or alcohol.