How to make roux-based sauce thicker
If your sauce is too thin, the problem is that your initial roux was either too thin (not enough flour) or you added too much liquid for the amount of roux that you made.  Standard ratios are 1 Tbsp butter - 1 Tbsp flour - 1 cup liquid for a thin sauce, 2-2-1 for something in the middle and 3-3-1 for a thick sauce.  

Once you've made the sauce and it's too thin, the best fix is to add a beurre manié, which is essentially butter and flour that you mash together in a small bowl and then whisk into your sauce.  It's kind of like adding more roux after the fact.  However, because it's not pre-cooked like the roux, you need to make sure you give it enough cooking time after adding to get rid of the floury taste.