In the Line style menu on the Home tab, you can choose from a few pre-selected line thicknesses. Click on More to be able to select the format and thickness of lines.
This dialog is context sensitive, for most diagram types, these are the options you will see.
Choose one of the pre-selected formats: 1/10", 10-point or 12-point line or set your own custom thickness in inches.
If you're using a Floor Plan, Landscape, or an Architectural Scale template, you'll see the option to set wall thickness to two common formats 4" for interior walls and 6" for exterior walls. You can also set a custom thickness in inches.
If you choose an Architectural Scale template using a Metric scale, you will see that the wall options are now in millimeters and you can set the custom thickness in fractions of meters.
If you select a Mechanical Scale Metric template, the options presented are in centimeters: