Dave,

First, I suggest you read the User's Guide... There's lots of useful information to be found.
Second, I suggest you install the AdvancedEditing plug-in. On the Documentation page you will find a useful tutorial. You can join walls using the AdvancedEditing plug-in, amongst many other things.
Third, study how Magnetism works. See the User's Guide. Amongst others, magnetism governs how walls connect, and whether angles are in 15 degree increments.
Fourth, study how to draw walls. You can connect the end of the last wall with the start of the first wall by double-clicking. Explained in, yes yes, the User's Guide.

Finally, I don't understand what you mean with your question about thickness. Can you provide an image to explain the problem?

Hans