If thin is the only sexy I'm doing it wrong!
For me sexy is both a state of mind and body.
Mentally they need to be comfortable in their own skin for starters. The rest usually falls into place after that. Physically I'm more of a proportions man. As long as it all works together, thin or heavy, then I'm alright. Some people are built to carry extra weight, some are not and both look a little funny when doing what they aren't "supposed" to be doing.