Yes, I think a thicker baseboard is the right call. We are in the process of going from standard 1"x3" boards as baseboards to adding a nice base cap to them. What a world of a difference the added caps have made! Of the two samples shown I like the one on the right. It seems to mimic the current baseboards level of detail but adds a little more substance. And no, I wouldn't worry about your door/window trim being smaller.

Just wanted to follow up with a photo since I always appreciate seeing the finished result. We are really happy with our new 5" baseboards. We purchased them at our local millwork store (McCoy Millwork) for about 1/2 the cost of home improvement stores. We had our wood floor person install them. The stain on the white oak floor is "Early American" from Minwax with an oil based sealer. In the "before photo" the stain was "natural" that had aged about 10 years.

This looks great, and you made wonderful choices. Congrats, and enjoy!