The pattern of scalp hair in babies is determined by a number of factors, including genetic, color of skin (fair versus dark), and stage of neurologic development.
The density of hair follicles is highest at birth because of the cyclic stages (growth, stability, then falling out and so on) of hair growth. Infants with darker complexions tend to have more abundant hair at birth. The follicles on the scalp initially produce what is called vellus hair, hair that feels silky and is seen in full-term infants. Vellus hair is short, fine, and poorly pigmented. Over time, the follicle grows thicker (larger diameter), and the hair becomes covered with an external sheath. Intermediate scalp hair develops 3 to 7 months after birth and is replaced with mature, thick terminal hair by 2 years of age.
So soon enough, your baby will have thicker (intermediate) hair.