Ask Mr. Smarty Plants

What a great find!  I am sure the Master gardeners can give you pruning advice as well, but yes, with careful pruning you should be able to sculpt your shrub and thicken it to a degree.

Rhododendron arborescens (Smooth azalea) is a deciduous azalea which means that it can tolerate (and in the north, require) more sun than its evergreen relations.  If it is not flowering well, its lankiness could be as a result of not enough light.  You don't mention how thick your woods are.

If you decide to prune it, there are two things you must remember: never cut back more than one third of the plant in a growing season, and pruning stimulates growth.  The one third rule means that you can cut back all the branches one third or you can prune one third of the branches to the ground.  The pruning stimulates growth rule means that wherever you cut, that is where new growth will appear.  That is why you sometimes see shrubs that have been sheared to a globe or square shape that are green only on the surface of the plant and have crazy shoots sticking out all over.

So examine your plant carefully and before you make each cut, try to picture how the plant will look without that branch and also realize that exactly where you cut it is where the new growth will appear.

Check out this video on YouTube and watch a demonstration of rejuvenation pruning on some large deciduous azaleas.  That is; one year they cut back one thrid of the branches to the ground and new branches grew from ground level, the second they cut another third and the final year they cut out the last third.  This makes the plant seem juvenile again.  Note that the plants they are demonstrating on are growing in an open, sunny area.

I would also recommend David Joyce's book: Pruning and Training Plants.  It is a great reference for doing all sorts of pruning and it has diagrams.  I am a big believer that a picture is worth a thousand words so it will likely be more helpful than my description.