Don't even bother. The more you try the more they'll fight it. They probably did it in the womb.
That said, you're going to try anyway, right?
Well, don't do it too soon. Wait until they can reason it through with you. If you try to young the message will become too jaded before it can become effective. When they are old enough, incentives may work.... but, only if they are about ready to quit.
Look for when they do it. You may also want to wean that pet blanky or monkey away from them because you might find that they really only do it when they're hugging it tight.
Once the habit is broken, or so you thought, be prepared for them to try to come back to sucking every once in a while. When that happens, it could be because something is bugging them. Keep those lines of communication open and offer other sources of comfort (like time alone with you).
