First of all, the garment needs to have adequate sleeve length. My Icebreaker and Ibex shirts which have thumbholes have longer cut sleeve lengths than other shirts which don't have them.
Icebreaker has the best thumbhole construction I've seen, using horseshoe shaped reinforcing pieces around the thumbhole, both inside and out, and is meticulously machined stitched. I think that some form of buttonhole stiching around a slit for a thumbhole might be considered for a homemade mod. But please ask someone familiar with sewing knit materials. Wool, in particular, is not a strong fiber.