There isn't a "correct" way to use the pitchbend wheel. You use what finger works well for you. For me I use my thumb with my other fingers resting on the side of the keyboard. I've seen some use their pointer fingers, index fingers, ect.

Don uses finger so he can work both for example. However some sounds if you practice you don't need the modulation wheel. I often discourage the use of the modulation wheel when playing guitar sounds. If your keyboard has a good quality pitchbend wheel you'll get much more realisitic vibrato using the pitchbend wheel.

Squeak