To thicken a sauce, you can use various methods such as adding a slurry (a mixture of equal parts cornstarch and water), making a roux (a mixture of equal parts flour and fat), using a reduction technique (simmering the sauce to evaporate liquid and concentrate flavors), or adding ingredients like tomato paste, breadcrumbs, or grated cheese. The method you choose can depend on the type of sauce you are working with and the desired consistency.