What do you mean by “thicker”? What are you trying to see or hear?
If you want the blue waves to take less vertical height, drag the bottom of the track upwards. This does not change how the waves sound.
Are you trying to compress dynamic range, so that the light blue (rms) part of the waveform takes up a greater part of the waveform? This will make the audio sound louder and “thicker” or “heavier”. If that is what you want, see: http://manual.audacityteam.org/o/man/compressor.html .
The blue waves are a measurement of how loud your show is. They’re not a tool to change anything. If you make your show louder, the blue waves will get taller top to bottom. They are another way to measure sound and are a cousin to the red and green bouncing light sound meters.
You can’t tell what’s going on with sound just by listening. I know you would think that from how your cellphone works — always completely automatic — but if you want to record sound of a higher quality, you have to keep track of the loudness and these are two ways to do it.