Some babies like to suck fingers, some don't and some like to suck whole fist. You can only try to keep pulling his fist out and stop him from putting it in. Have you given him any teether before? Babies usually need something in their mouth to soothe themselves at this age. Try the banana teether.
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Well, try to keep telling your lo no and remove his first from his mouth. The vomiting is most likely due to him putting the fist into his mouth. You can offer him a pacifier or maybe a teether instead.
It seems and sounds like he is teething, maybe you can offer him a teether so he doesn't suck on his fist and gets choke or gag.