Thumpers are used to only attract the sandworms, a shield on the other hand attracts the sandworms and drives them into a killing frenzy:
"According to Idaho’s report," Hawat said, "shields are dangerous in the desert. A body-size shield will call every worm for hundreds of meters around. It appears to drive them into a killing frenzy. We've the Fremen word on this and no reason to doubt it. Idaho saw no evidence of shield equipment at the sietch."
The pseudo-shield in Children of Dune was used as a weapon, driving the worm crazy was the desired result. The Wikipedia article linked in the question also notes:
The vibrations of an active shield will drive a sandworm on Arrakis into a killing frenzy, drawing them from across territorial lines to attack the shield.
Even using a small shield wouldn't help here, as a sandworm would be attracted to the shield but it would also be in a killing mood by the time it arrived.
And, as noted in another question, thumpers aren't that bulky or cumbersome to use or carry.