I am an occupational therapist, and your observation of when he sucks on his fingers caught my attention. This may be more than a nervous habit. It could be related to an unpleasant sensation due to the crowds. It may be the noise. Kids who are sensitive to noises or fearful of unexpected touch may try to override that sensation by sucking or chewing. This actually is a great way to diminish the reaction to sensory information, but it is also not a good choice for hygiene or social reasons. If your child is at all sensitive to touch or noise, I would consider this a sensory response. You could go the route of seeking an occupational therapy evaluation (by a good pediatric therapist with lots of sensory experience) if any other problems are present. If it is just the fingers, I would find a replacement. Gum, a candy that he can suck on, even a water bottle with a sport top for sucking, may be helpful. Talk to him about it. Be honest about why you don't want him to suck his fingers, and ask him to try this instead. Work together with him to find a solution. You will be amazed at what kids sometimes answer when asked the right questions. You may also try something in his hands that he can squeeze or play with, but I would try the other things first, as the hand held fidgets may end up in his mouth, too.
I hope this works for you.