I have a few suggestions, the first is simply cornstarch, just a little bit goes a long way, and it's a solution sometimes used in Thai (and Asian) cooking. However, some of us westerners are kind of avoiding that stuff.
The second is to add a little bit of roux (cooked flour and butter).
Keep in mind both of these options don't really thicken until the sauce boils. (and the starches explode)
The third is what I do if I can . . . When you buy coconut milk, it's usually separated into solids and water. I just use the solids, and reserve the liquids for something else (soups, sauces . . . . or cocktails). Shake the a little when you're picking it out. It won't slosh around very much if it's separated.
And avoid Lite Coconut Milk, its nothing but coconut milk with a different solid to liquid ratio.
Pretty huh? I know, but I just wanted you to see what you're looking for. I will only use the coconut solids.
