I actually agree with sunshinelove, I have used sew in hair extensions before and although they are better than glue in hair extensions, they can still be very damaging. Your hair will almost certainly tangle as you naturally loose hair everyday and if the hair is sewing in, you will not be able to comb it out, which can cause the hair to tangle. Sewing your hair in also puts a lot of stress on your scalp and can yank your natural hair out from the roots and as you already have thinner hair, this will be far from ideal.
My advice will be to try clip in hair extensions but remember to take them out after use and to never sleep with them in. Also give your hair a day or two's break in between from wearing them. They may not feel as natural as other techniques but in my opinion the fact that they are not permanently fixed to your hair makes them much safer to use.
You can try the 70 grams pack for a starter, which is light but can also make a huge difference to the thickness of your hair.