You'll definately get larger clumps faster if you don't thin them. However, a lot depends on the type of grass you've sown. If it's a grass with distinctive characteristics, like color, you may want to grow plants from individual seeds, and select for the strongest characteristic representation.

In other words, if you sow Blue Fescue, and grow clumps from multiple seeds, there will be blades within the clump which are more or less blue in color.

You also need to be careful how you do the thinning. If you just cut off the blades of some Fescues, they'll grow right back, with more blades than before.