If you follow this recipe you shouldn't have to. The coconut milk is thick as it is (like a heavy cream) and blending it together thickens it up that much more. However if you're cooking it the traditional way with milk or half and half. You may want to make a roux (flour and butter) and add that right before you add the liquid. Cornstarch and arrowroot powder also work, but make a slurry (mix it with chicken broth or water) before slowly whisking it in.