How to decide whether to reduce a sauce or thicken it?
The best way to decide whether to reduce a sauce or to add a thickening agent is to taste it. If the flavour is as strong as you want it to be, then reduce it no further and add something to thicken it.
If the flavour is too weak, keep reducing it.

Other points to consider/caveats:


reducing will increase salt concentration, so even if the flavour is too weak you might make a sauce inedibly salty if you reduce it too far
some flavour compounds will get destroyed by too much boiling, so consider how the flavour might change as you reduce it (e.g. lemon juice will lose some of its fresh, bright flavour, alcohol will lose some of its kick)
various thickening agents will thicken the sauce in different ways. it may be useful to familiarise yourself with them
some thickening agents will have an effect on the flavour of the sauce (especially wheat flour, egg yolks, but also to a lesser extent cornflour)