I would try to be a bit more conscious of how you're holding the controller and how much pressure you're using. Are you sure that your thumbs become sore from the pressure you're using, or is it possibly the position of your thumbs on the joysticks for an extended period of time? I know some people who have larger hands have difficulty playing in the double joystick position if they play for a long time.
If it's seriously affecting your ability to play, I'd do what "they" recommend, and try taking a 15 minute break for every hour you play (which none of us gamers ever do, I'm pretty sure, haha). It's better to take a break once in a while then have thumbs that are killing you.
In regards to the higher levels, which levels in particular are you having trouble with? Don't beat yourself up trying to get all the presents, all the cousins, the biggest katamari, and the shooting star goal in one playthrough of a level. It's pretty much impossible at the higher levels. Especially if you're having trouble with sore thumbs, you don't want to put that much pressure on yourself. Do a run for the present, a run for the cousin, and so on.
Knowing what objects are where does help a lot, but you don't necessarily have to do it perfectly. There are many walkthroughs and guides out there that have specific tips for each level that can help you! I don't know which ones you're having trouble with, so I can't give any specific tips, but in general, don't worry about picking up every single piece in one go when you are rolling. For example, you see a row of 10 erasers and you roll and only grab 8. In general, it is faster to just keep rolling onto the next item then to maneuver yourself around to grab the 2 you missed. Just roll right into the cookies or the thumbtacks and keep moving, as that will be much faster in the long run. If you're in an area where you're going around in a circle, just pick them up on the next lap. If you're in a level where you need to pick up specific items (crabs, cows, women) and you miss one or two, again, just keep rolling, you will find more. There's never really a case where you will run out of what you're looking for without growing to another size, so mobility is the key!
Don't forget about the quick-turn, where you press the joysticks down at the same time to do a quick 180. Doing that is way faster than turning around if you are stuck in a corner.
Hope this helps! Apologies for the long-windedness, but I'm a big Katamari fan. :P