henna can make the hair strands thicker, it is a dye though
theres a similar thing to henna its called cassia obovata ( this doesnt add color, except a golden tint to pale hair)
http://www.hennaforhair.com/faq/cassiaobovata.html
also have you tried mousse ??? this can give some volume to the hair
using mousse along with a diffuser could help
eta: no i have never tried thickening powders