Our Sammy did that for a long time. I agree with Jen that he was taken from his mom too soon. Sammy was found on the side of the road when he was very tiny. He didn't start sucking until we put a new blanket on the bed. He loved it and nursed on it every night when we went to bed. He was probably around 5 or 6 months old before he even started it. The blanket finally came off of the bed when he was around 2 and he has never done it again. There was just something about that blanket! It was cute and I do miss him doing it. It drove my husband crazy when he was making that little sucking noise until he went to sleep with a little wet wadded up piece of the blanket still in his mouth.
UUUMMM...I wonder if I still have that blanket.