Millet is a very fine and light flour. In gluten-free baking, it is generally combined with other gluten-free flours, not used by itself. One such combination might be equal parts brown rice flour, millet flour, sweet rice flour and tapioca starch (with some xanthan gum). Hope this helps!

Thicker or denser? Are you trying to make a higher loaf? If you're making gluten-free bread, I would fold a whipped egg white or two into your dough before you let it rise and only let it rise once, in the form you'd like to bake it.

Thicker than what?