That's pretty much just going to be personal preference and what kind of feel you want in the hole.
I have a piece 100 grit I carry around, but I haven't used it in the thumb hole in a long time (years). I have a wood dowel I wrap it around if I need to tweak a new finger insert.
I've seen one or two guys use a small piece of drywall screen.
There's a few workout tools that you could use such as:
Ebonite workout tool
or
Ebonite 3-in-1 Bowlers Tool
or a
Master Round Rasp
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