The variety is the main contributing factor - different varieties have different genetic markers for thinner or thicker walls. The growing conditions provided is the next biggest factor. Inconsistent soil moisture levels, in ground vs. in containers, nutrients provided, and ambient air temp extremes can all contribute to the wall thickness as the peppers mature. Those you buy at the store are usually grown in very different environments than yours given your location.

Many growers prefer the thinner walled peppers so it is a personal preference.

Dave

If you pick the peppers too early they'll also be thin walled. I've had the thin walled problem too, so this year I put my peppers under plastic mulch and was careful to water them enough. The first peppers I harvested were bitter and thin, I finally figured out that I was picking them too young. Once they matured they had thick walls and were very sweet, better than anything I've ever bought at the store. I planted a rainbow mix from Peaceful Valley so I could compare. The orange peppers were the sweetest, but they were all pretty good.

Some growers here in zone 6 use shade cloth to protect peppers from full sun. I was prepared to cover mine but they didn't need it. In zone 9 though, you might want to consider it.