The reality is that you cannot ever thicken your beard in the true sense of the phrase. Your natural biology governs your hair growing process, so you cannot expect to alter that significantly. You can alter the way the hair appears through different grooming methods, and this can make it appear as though your beard has thickened.
One way that people tend to make a beard appear fuller is to dye it. Beard dying is a relatively common practice and you can find products specifically geared toward this at most drug stores. Make sure that the beard dye matches both your natural beard color and your regular hair color, and if there is a difference between the two, try to find a balance between them. If the color is too far off it will immediately call attention to the fact that it is unnatural.
Many people say that if you shave more often it causes more hair to grow in that area. Though this is scientifically untrue, there is a reason this urban legend persists. When you shave it makes the hair grow in flatter. This makes it look darker when it is in the early stages of beard growth. This can contribute to a darker and fuller look in very short beards, or the pre-beard growth area.
The best way to make your beard appear thicker is to shave in a way that is appropriate to your beard style. Many people have thin patches in their beard, or places where the hair does not grow as thick. Try to limit the other areas of your beard to the length limit set by the shorter areas. This will reduce the visibility of those shallow patches and make it appear as though the entire beard is more full. You can also try to let other areas grow longer so that they will cover the shorter areas, but this does not work with most people's hair types. You can also choose beard types that highlight the areas that grow the best. For example, you can go with a goatee if the area right around your mouth and mustache line grow well, but not so much on the cheeks. Make sure that you keep up maintenance on your beard so that the shallow areas are never highlighted.
Limit the number of stray hairs to make the beard area appear as though it is one thick mass of hair. This means very careful work with a beard trimmer and then possibly going back over it with a small pair of scissors.