I'm sure you've seen the photo strip here. I'm sure you debated it. Lucky for you, I did it. So, here goes.
Mine didn't thicken. At. All. As in, it was as runny later as it was before.
However, it DOES work. It gives lubrication (hehehe) to your razor while you're shaving and it does moisturize a bit. I don't recommend using baby oil, but that's personal preference. I've used baby oil and Vaseline prior to this for different reasons, and I've had horrible skin experiences.
I'd recommend using maybe some coconut oil. That may thicken it up to a "lotion" standard. Mine is like water, almost. I can't use coconut oil due to an allergy, so I have no way of telling you if this will help or not. Also, using a thicker lotion may help, too. But give it a shot. It does work, and it lasts a good bit.