Agracier: It's actually possible to hurt somebody with a rectal thermometer if inserted wrongly or with insufficient lubrication. This is one rationale against using rectal temperatures, and also a motivation for the flexible tip thermometers.
But yeah there is no rationale in inserting a finger before a thermometer, especially an ungloved one, since chances are higher to hurt with a fingernail than with a thermometer.
Before inserting things anally my mother would ask me to "push" like for going potty and that was one good precaution.