I know a few things that can help.
Discern your face shape. (Took me for ever to realize mine was the "heart shape" because it was so subtle.) Go to this link for help/ http://www.wig.com/face_shape_guide.asp.
Read what they say about what styles flatter that face shape the best.
Go to a big wig shop when they're not busy and ask them for help in finding a wig style and color (or one with high and low lights) that looks good on you. Have a friend or two with you that have a good sense of taste if you can and ask for their honest input. See if the recommendations you got for face shape do well on you. Pay more attention to what looks good on you, not what wig looks best on a maniquin. You don't have to buy of course, but you may be tempted to use it on special occasions. You may be tempted to use extensions or hair pieces for some occasions. All the stars do. Hair pieces don't cost that much any more.
Consider paying for an expensive salon one time to get their feedback. Ask for a consult first to see if they will advise you on what type of hair style would look good on your face. Where should it be flatter and fuller. Should it be layered or do they have any kind of product that helps make it appear and act thicker. If they don't do this, try elsewehre. If you don't live in a big city, go to one if you can. This is a one time thing.
Ask them if they are willing to help educate you about how to keep up the hair style in between cuts and not turn the chair away from the mirror so you can watch.
Be open to a makeup consult also in case that could also help with highlighting or downplaying or softening some features that would help.
Now, get recommendations of stylists from anyone you see that has a great hair style. Strangers. Doesn't matter. When you compliment them on their hair and say how good it looks on them, ask them if they'd mind telling you who does it and from what salon. It is okay to ask if they are very expensive. Thank them profusely.
When you do find a style you like on you, take pictures of it, show it to the recommended but cheaper stylist, and ask them if they can duplicate it. Have the product with you if you found one that helps to thicken it. The one (I found was by Revlon called Putty. They sold off their Professional line" to another company who doesn't have it out on the market yet. Argh!!!)
I hope you get more good advice from gals that have overcome their thin hair issues or have a stylist they can recommend in your area. That wasn't my particular challenge.