Unlike the elaborate etiquette surrounding afternoon tea or the "correct" way to eat a scone, there is no formal etiquette for eating pickles in the United Kingdom. Pickles (commonly pickled onions, gherkins, or Branston pickle) are treated as a casual condiment or snack.
Use a fork if the pickle is part of a plated meal; fingers are fine for casual snacking. Beware of staining—pickle juice can leave stubborn marks on clothing. Otherwise, enjoy them however you like!