For many years, stronger condoms have been the bedrock of HIV prevention, though the landscape is changing. Today, there's a shift to choosing the right condom (which may not necessarily need be thicker) with good technique and plenty of lubricant.
In 2001, an evaluation concluded "...there is no evidence from the present investigation to support the use of stronger (thicker) condoms over standard strength condoms among gay men. The appropriate use of additional lubricant should be encouraged."
Obviously thicker condoms will lessen dick sensitivity and, although they offer better protection under ideal circumstances, the benefits may be outweighed if your dick is so de-sensitised that you have to ferret around for hours before you can cum. On the other hand, guys often love a good ferret! It's your choice: if you feel safer and more secure using a stronger and/ or thicker condom then use them!
An evaluation of a thicker versus a standard condom with gay men | Golombok S, Harding R, Sheldon J. AIDS, 2001;15(2):245-250.
Condom efficacy in gay men | NAM Aidsmap