The stuff is called Paints, and it is my favorite! It goes on creamy and dries to a powder, so it doesn't crease. As for looking too thick, it really depends on the appliation, as with most makeup... as well as the colour you choose.
I mostly use paints for a very smoky eye. Graphito (a dark grey color) and Existential (a dark green) all dry to look very thick. But another color I have, Shimma (an almost metallic pinky/purple) can be applied to look very natural and fresh if applied sparingly. And it stays on all day without budging.
When Paints first came out they were released in very bold colours but recently MAC has released more neutral and natural shades. I would definitely recommend them to you.
Really, they are just like eye shadows.. but hugely pigmented because of the form they are in. And much easier to apply if you want to get very precise application, because they start off creamy. With the right brush you can literally paint on a detailed makeup look.