Form the thimble in the normal fashion from flat stock.
I'd use thinner stock than normally used because of the need to dimble it later.
After forming round which includes the normal legs or flanges for pinning,,clamp & hold the thimble tightly closed and pour the inside full of lead so it is completely solid.
Then go about dimpling the surface , the lead supporting the brass from the inside for the operation.
I suspect it would take a bit of practice on the part of the 'smith to get the right convex punch size, depth and hammer wack to get
the dimples to appear the way you want them too.
Perhaps reheating the thimble to let the lead re-melt and re-occupy the inside at some point during the process as it gets displaced,,maybe.
When done, heat it up, drain the lead out. Clean it out w/a brass brush run in and out of the thimble while the lead is still molten. That should 'tin' the inner surface and not leave extra lead in there to decrease the diameter.
Probably could get the flanges to solder together at the same time too.
It always works so great on 'paper'.