Conventional wisdom says that a heavier gauge of string will sound thicker.
Is this true?
As always, it's something that should be tested. But, I think we sometimes get an incorrect sense of the discussion. Sometimes, it's easy to come away with the impression that 8s or 7s must sound "bad", if it is suggested that something like 10s sound thicker. Then, when we hear of examples like Malmsteen or Gibbons, confusion can set in. After all, their sound isn't thin, but they're using these thin strings. What gives!
Citing examples like Malmsteen or Gibbons does serve to highlight examples where those gauges are used to good effect. But, such examples don't necessarily prove there is no difference between those strings and a heavier gauge. It just demonstrates that thin strings don't condemn you to a bad sound. Now, as in many things in electric guitar land, so much is dependent on the rig as a whole. You really can't pin the whole thing on strings.
@Col Mustard may want to chime in here, but I think I notice more of an effect of different string gauges on acoustic guitars than electric guitars.
I will say, I have noticed a very slight difference when using different gauges of strings on some of my electric guitars. But, it's not monumental. I tend to pick strings more on how they feel than by being too dependent on gauge for gauge's sake. On some of my guitars, I prefer the feel of 9s. On others I prefer the feel of 10s.
I have tried 8s. Honestly, I don't like them. I don't want to fight my guitar or feel like I'm squeezing power lines, but they are just too thin for me. I really need to feel something a bit more substantial under my fingers. That's all.