Cutting yourself is the absolutely worst way to assess sharpness. Source: I absolutely happen to have a semi-shaved left forearm right now and the first thing I do when in my mum's kitchen is to curse her knives they're practically indistinguishable from pestles. Expensive knives, too. Expensive, not necessarily good, you can max out the grade of steel you're getting for about 30 bucks for a Chef's knife. Victorinox Fibrox or F. Dick ProDynamic, that's what you see line cooks and butchers use.

Testing sharpness by moving your thumb along the edge is more or less valid, sharpness correlates well with how much your neck hairs are on edge if you're cutting yourself you're not listening to that. In any case doing that won't let you assess how smooth and regular the edge is, slicing paper is good for that you'll feel every jag.