We tried at about six weeks when Katrina was crying and wouldn't stop (for hours). She spat it out (virtually across the room). We tried again when all else had failed at around 8 weeks. She didn't really take to it then but I showed her how to put her thumb in her mouth as a book I have recommends that rather than a dummy and says there's no harm to the teeth. Now she sucks her thumb quite a bit to go to sleep and I'm happy with that. One less thing to remember when we go out and I don't want her dependent on a dummy as I've heard some babies then wake up and you have to keep going to get the dummy in the middle of the night. I sometimes use a dummy when she's having a lot of trouble going to sleep, but she still prefers nothing or a thumb.

So yep, just play it by ear.