It's a common misconception that shaving makes hair grow in thicker. The hair itself doesn't actually grow in thicker after shaving, but it can create the visual illusion that it is. There are many factors that go into this, such as hair color, thickness, the density of hair in a given area, skin color, the angle at which the hair was cut, etc.
I have very fair skin and somewhat dark facial hair, but I've found that if I make it a habit to shave everyday, or every other day at the least, my facial hair is hardly noticeable, especially with the use of makeup.