Generally speaking I use one of the following methods:
When you've got everything cooked as you want, if it's looking a bit thin add some cornflour paste. To do this put two heaped teaspoons of cornflour in an old mug and add a trickle of cold water to make a smooth paste, no lumps no lumps! Then stir it into your sauce/soup/casserole over a low heat. If it's not thick enough after a few minutes, repeat :) If it's a stew or somesuch you're making you can also add a teaspoon or two of gravy browning, but it's not usually necessary.
Making a roux
Heat some butter in your pan - 1 or 2 tablespoonfuls, and then add gradually the same amount of flour until it forms a ball. Cook gently so you don't get a nasty raw flour taste. Then, add your 'saucey' bits - usually I use this one for a white sauce, whether it's cheese, bechemal or whatever. The key is to make sure it's mixed in really really well.
Beat 1-2 eggs in a bowl and add a couple of tablespoonfuls of the hot stock to it, stirring carefully. The trick is not to turn it into scrambled egg by warming the eggs with the stock before adding them back to the pan. Makes a really rich sauce.