Let me post a slightly different perspective. The starting point for the question is that you bought a thin fountain pen (presumably because you found it attractive). Then you discovered that it is uncomfortable to hold and are looking for a solution to make using it more comfortable. The existing answers directly address what you asked. This answer will be more for other readers who have not yet made a purchase.
A fountain pen is a little different from other kinds of writing instruments. It isn't just a question of holding the pen against the paper and dragging it around. The pressure against the paper affects the line. The rotation of the nib against the paper must be within a narrow range. The angle of the nib against the paper must be within a narrow range. The pen behaves differently on a pull stroke vs. a push stroke, which can affect how you form characters, especially with certain nibs. If you want to take advantage of the ability to create artistic flourishes, you need a hand position that facilitates much longer strokes. So it isn't just a question of securing the pen in your hand. How you hold it affects your ability to write with it.
With a fountain pen that you use for everyday writing (as opposed to something you use for just brief periods for a special purpose), it's very important to start with a pen that fits your hand and is comfortable to hold. There are a lot of factors in this, including the diameter, length, weight, balance, shape of the grip area, whether or not you post the cap on the back during use, etc. And the type of nib affects the importance of different elements of the hand position.
If you are first starting out with fountain pens, it's a terrible idea to buy a pen based on its appearance without trying it out. Plenty of pens are gorgeous, but may be problematic for you to use. Go to stores that carry a selection of fountain pens and try different ones. You'll find that some feel like a natural fit and are comfortable to use, while others are the opposite. After you've been using fountain pens for awhile and have tried different ones, you'll find what design is the best fit for you. At that point, it will be much safer buying a pen without trying it first.
If you've already bought a pen that is too thin (or not optimum in some other way), the best solution may be to cut your losses and try again. You may be able to return the pen, or just save it for its beauty and limit how much you use it. If you bought it for its appearance, any kind of accessory grip you add will negate that. Modifying your hand position to use a pen that isn't a good fit for your hand isn't a good solution.
There's an old Henny Youngman joke: Patient to doctor, "Doctor, it hurts when I do this." Doctor, "So don't do that."