First off you will need a good hair cut with blunt layers in them. I think shortish hair would be good with a fringe at the front to conceal the forehead.
Straight hair makes thin hair look thin! You need some body in there, some sort of style. So if you do get shortish hair with blunt layers and a fringe, you could use hair volumising mousses or texturising sprays.
Here's the look I'm thinking of. Let me know what you think about it.
http://www.katebloom.co.uk/images/pageimages/man_bw.jpg
Thin hair does tend to get greasy quite quickly. Chose a shampoo forumlated for greasy hair. And buy a dry shampoo! It's good for when you can't be bothered shampooing.
And unfortunately, theres nothing i know of that makes your hair thick but taking Vitamin B complex supplements with Biotin in it will help strengthen the hair when it grows.