You can also thicken with sugar-free pudding mix - just a little will thicken up the shake. (Or you can just go ahead and make your MRP into pudding and eat it...makes it a more satisfying meal.
Just add like 7-8 ice cubes and less water than ususal, and throw it in a blender. it makes a thick shake that you may have to use a spoon to get out of the blender. If that is too thick for you, add less ice