The trick is to chop the trunk at routine intervals, every few years, which may not give you a big bush, but smaller and lighter branches to work with, coming off what will look like a fatter trunk in relation to them.

You are dealing with a 'dwarf' variety which has a growing habit more like a shrub than a tree. Getting any real trunk size in a Bonsai much over 8 to 10" will take a lifetime. What larke has suggested is the best way to go with them, keep the 'tree' under 10" and grow it as a medium/small Bonsai.
If you want a larger azalea it's better to go with another variety, stay away from the reds, they are the weaklings of the azalea family.

Bob

Wrap a thin aluminium wire tightly around the trunk and plant it in the ground for several years. Soil should be fairly acid (peat or so). Use a good nitrogen-rich fertilizer. Even use Leaf fertilization every other evening. Let the shoots grow long and cut them back once or twice a year. After a few years the aluminium wire has completely grown in and leaves no trace.

I forgot to mention: while applying Leaf fertilizations. Apply it in the evening, then wash it off again in the morning to prevent sunburning.

and oh: while the flowers are pretty they are seriously slowing down the overall growth of your tree. So best is to pick them before the tree blooms. This way the tree will grow much faster. You won't be seeing flowers anytime soon though as your tree is still in his early stages of development.

Good luck!

Azaleas are no exception to techniques used to promote trunk development. You must create mass and this can only be done by allowing plant to grow. Most trees are allowed to grow into a whip first to create mass, so you want to get azalea high as possible by selective pinching, train trunk line allowing apex to grow. Then shift up plant into larger containers and allow plant to grow without pinching anything. In a year or two remove only the large branches after blooming and continue to grow.