If you're Alliance, I'd say try the wolves near feathermoon stronghold in Feralas for thick leather at 40. Also the wolves near Aerie peak in the Hinterlands might be good (with a direct flight to IF close). If you're Horde, the mobs around Camp whatever in Feralas might be good, but I'm not sure of the levels on those. The mobs near Gadgetzan are pretty good, but at 40, you might have a good bit of downtime there.
The closer the mob is to level 45, the more likely thick will drop. The leather types just kind of phase into the each other as you progress in level. Around level 15 medium leather starts dropping (rarely), then becomes the normal leather drop by level 25 when heavy starts dropping (rarely). Heavy becomes the normal drop by level 35 when Thick starts to drop (again, rarely). Around level 45 thick leather will be the most common leather drop and rugged will start to drop every once in a while.