Spraining a thumb is a relatively common injury. It is easy to do in so many sports like volleyball, basketball, softball, skiiing, sledding and tennis or even ping pong. It is basically overstretching the ligaments out of their normal range, leaving you unable to pinch with any pressure. It is slightly to extremely painful depending on the severity, usually swells within an hour or so and can bruise after a few days. Usually it is wise to have it seen by a doctor to rule out serious long term damage.
You will want to immobilize your thumb as much as possible to allow the ligament to heal. However, with the thumb, that can be a little tricky as we use our thumbs almost unconsciously all the time. A thumb splint can be used quite simply just by slipping over the thumb and adjusting the Velcro straps.
Wrap the whole hand with the fingers and thumb together in an ace bandage. Some people find this position comfortable as the ligament is not extended at all and therefore relieves the pain. This will leave your hand almost useless but is great for sleeping when you can unconsciously bump your thumb and stretch the ligament.
Tape up the hand leaving the thumb separate but secure. Start with the back of the wrist and come around and gently between the thumb and forefinger and then back down again to the wrist. Wrap around the palm and fingers, not including the thumb and then back around the base of the thumb. Repeat until it feels snug but not tight.
Keep the thumb slightly elevated as much as possible and even in a sling to keep immobile. The less you use it, the quicker it will heal.