Due to the intensity of Stevie's playing, together with the thickness of his strings, he quite often wore holes in his finger tips. These holes could be 1/4 inch deep and so he developed his own way of fixing them.
Firstly he'd fill the holes with baking powder. Then he'd put a layer of super glue over the top of the hole.
Finally, he'd press the finger onto either the palm of his hand, or a finger from the other hand until it stuck. Then he'd pull the finger away and he'd have a new layer of skin over the repair.
He would then use a nail file to file down any rough areas, so they did not catch on the strings.
(information from Texas Flood - The Inside Story of Stevie Ray Vaughan, by Alan Paul and Andy Aledort)