It is also a relaxing activity for both baby and you. She will have her own special way to be held or moved in which she is comforted. Most babies need a self-comforting pattern. They will need a way to fall apart and to relax. Sucking is a part of this self-comforting pattern.
Babies comfort themselves with either a pacifier or thumb.
You will need to decide which you want to encourage her to use as part of her self-comforting pattern. A vital task for new parents is to learn to identify the different cries of the newborn. Any cry on her part is interpreted as a call for help. Parents automatically feel that they must respond and must find the problem that is making the baby cry. This will take time.