Alex, maybe I have misunderstood your question, you title it rough turning and then ask whether you should leave them thick or thin? You can't rough turn a wrt piece of wood thin, it's a contradiction. If you rough turn it, you turn it so it can move and dry before completing the item. If you rough turn it thin, when it dries the outside line of the bowl will more than likely cut inside the line of the inside, making further turning impossible.
How thick you leave it after you have rough turned it will depend on several things including, the species, where the piece came from in the tree, the cut, ie sawn through and through or quarter sawn, the current moisture level, the diameter and depth.