I used to dye my facial hair.. until a dye mess up and I had a purple beard. Not a good look.. lots of people singing "Purple Beard, Purple Beard"
Like yourself I also used to have very light hair (nowadays its more grey than anything!) to make it look "thicker" I would dye it. However I really wouldn't recommend it, for one the dye drys out your face and its a real pain to get the dye which is left on your skin off! I even used to use "Just for Men Beard and Mustache dye" this however was harder to use than just ordinary hair dye.
It wont make your hair look thicker it will make it look strange and also the dye wouldn't attach itself to all of my hair (even when left on for longer than usual) so I'd have a few black bits then just mousey blonde. It just didn't look hot.
Try it! Your hair maybe different and if it doesn't look hot you'll just have to shave.