I'm not sure how to make it thicker per say, but it would be nice if it were overall more opaque. My problem with yours and the AutoExe style grills is that you can see the radiator, etc. and it leaves the car looking unfinished.
Perhaps try putting another piece of the same mesh behind the existing one, offset so that the X's of one piece are right in the O's of the other. Did that make sense? Do you see what I'm getting at? Essentially double up the mesh and see how that looks.
By the way, good for you making your own. I picked up an extra stock grill for just this purpose, but I haven't figured out yet what to do with it to make it different, without just looking like I cut away a bunch of a stock grill!
Edit: I just looked at the picture again, and remembered: Whatever you do with it in the end, you may want to make the bottom grille match the top, as far as the mesh goes, just for consistancy.