Dreadlocks originated in East Africa and consist of coils of hair that have been matted. Hair that has not been brushed or combed will eventually tangle and twist, resulting in dreadlocks. Typically, dreadlocks are about the width of your finger, but even dreadlocks that start out skinny will eventually thicken up.
Combine a few thinner dreadlocks to create one thick dreadlock. Gather the thin dreadlocks together at the root and secure with a rubber band. You'll have to leave your hair like this for a few months, until new hair grows and merges all of the hair in the dreadlock together. Massage your scalp. This will help your scalp to product natural oils and will maintain the health of your hair. Massage for a few minutes, a few times a week.
Use hair care supplies intended for dreadlocks. Purchase specialty shampoo, conditioner and wax that's meant specifically for people with dreadlocks (all dreadlock products available @ dreadz.co.uk). Avoid using chemical products on your hair. Some people use wires or rolling at the base to try to force the hair into a particular shape, but this won't work either. The dread has to collect all of the hair on your head in order to form and thicken.
Wait! Eventually, your dreadlocks will thicken as your hair grows and continues to twist around your current dreads. Growing and thickening your dreadlocks takes time, so the most important thing to have is patience.