Lots of cardio, if you run a lot then you'll get runners legs which on avg are thin. I run about 5 miles a day (unless I'm training for a marathon) and my legs are on the lean side, if you do to much cardio you'll not only burn fat but muscle, but you really don't want to get to that stage, it could mean that you lost too much weight (I dropped about 45 in about a month, it's not good for healthy skin). I suggest cardio but I also suggest that you don't go overboard, I know a lot people say they would never get addicted to running (I was one of them) but you can, I can hardly go a day without going for a 5 mile jog
Cardio + enforcing a diet would probably be your best bet. If your thighs are muscular, then all you can really do is exercise normally and wait for the muscle to recede. Keep up a workout that will burn a lot of calories but won't stress your muscles. A low fat diet paired with cardio exercises will probably have the best results. And obviously, take in your normal amount of calories, but burn more than you take in. Other than that, it's just a waiting game for your body to start using the muscle once it's used the fat.
You have to lose body fat to do that. Cardio is way over rated as a way to lose weight. You can consume 1000 calories in 5 minutes, but it can take over an hour to burn that energy off on a tread mill. Cutting a percentage of calories (we use kilojoules in NZ) will make a huge impact on your fat loss.
Best way is to look at what weight you want to be, and start eating at that level to maintain that weight. This site link as an excellent calculator to give you an idea on how many calories you need to eat a day.
Thin thighs like you're describing come from very little body fat, and very little muscle in your thigh area. It also has a lot to do with how wide your hips are to begin with, because that would automatically place your thighs further apart giving you that gap.
Okay I know it's a little outdated but I swear by the thighmaster haha. the best part is you can get it for about $2! I came across it at a yard sale and it's worked awesome. I had thinnish thighs to begin with but now I was a good 1/2 inch to an inch (on a good day) gap between my thighs.