A simple M3 nut knob. Works great with both regular nuts and nylock nuts. This version is adapted for the DIN985 standard, which is common in the EU.
Print with the thumbscrew's largest face on the print bed, that is, upside down.
I printed using PLA, no issues.
This is a remix of http://www.thingiverse.com/thing:2153764
The M3 nut will be a tight fit to insert into the socket. I recommend using a pair of pliers (or simply pushing it against a solid surface (or gentle love with a hammer)).
Once in, it won't come out.