Thermal pads compared to metal heatsinks are actually insulators. The thinner the better. But air gaps are much worse, and more pressure helps also. So you want the thinnest you can use, that has no gaps, and can be attached tightly. Too much pressure can cause mechanical damage so don't get carried away with that either. If the heatsink covers several chips and there is a varition in their height then a thick pad will make up for that. If thy're all the same, or just one chip then thinner will cool better.