We used stainless steel thimbles on all our halyards on our boat... eight, 1/2" double braid eye splices, I did them all myself and was often winched to the top of a mast on those very splices/thimbles. They lasted for years, with sometimes sails set for almost a month at a time (yes, really...23 days to cross the Atlantic) and we never had a major problem.
As a safeguard, I would whip the throat of the eye splice and also put whipping on either side of the thimble's pointy end.
If I didn't get the eye splice really tight it could rotate a bit and the thimble start to dig in...but there were some pretty large forces on those splices, far more than you or I would place on them while climbing.