We keep ours pretty low, probably 2.5 or 2.75". But if you just sprayed the lawn you might want to leave it for a week and then cut it twice, once to your normal lenght, and then a few days later to a shorter lenght. You need to let the weed & feed do its thing so if you cut it too soon you'll cut off the chemicals before they get into the plants.
As for getting it to thicken up, I tend to avoid chemical fertilizers (like Scotts) because they tend to keep the nutrients near the surface, which creates a thick mat of roots just under the lawns surface. That keeps the roots high in the soil rather than sending the roots deep. If the roots are deep, the grass can reach more water in dry spells. If you believe that theory, then the proper approach is to get rid of the "thatch" which is actually your root mat by physical means (airator, slitter, etc) and then top dressing the lawn with compost (a thin layer -1/2" or so- of compost or healthy dirt) spread after the airation. Do that in the spring, again in the fall, maybe for a couple of years. Use an organic fertilizer that does not kill the beneficial bugs in your soil and that will help also.
In addition to that, you can overseed the lawn as well. But if you overseed, then I would do some serious airation (like do it 3 or 4 times) and I would definately top dress with compost or dirt before I did the over seeding. The hardest part is the top dressing becuase it is actrually fairly difficult to spread a really thin layer . . . a York rake could be somewhat helpful if you kept the pressure very light so it didn't tear up much. The yard will look a little worse before it looks better because of all the airation and top dressing. In the long run, the goal is to keep the roots going down into the soil, not keep them on top of it. A thriving healthy lawn will also be somewhat weed resistant. I never "feed" my lawn with chemical fertilizers, and I keep the dandeline killer to a minimum. My yard doesn't look perfect, but it stays green and doesn't cost me an arm and a leg to maintain. My dad used to spend more money on "Scotts" each year to keep up his 1/4 acre than I spend on my acreage in 5 years.