Hello, I hope you find those socks.  The only thing I can suggest (and I'm certain you already thought of it) is to shop online for them.  I live in Baotou and while I have not looked for any thick socks I am realizing I have not SEEN any either.  I see lots of shoe inserts here but mostly thin wool socks.  I like those wool socks by the way.  They keep my feet happy but don't seem to last long.  Good luck.  I hope someone has a better suggestion.

uniqlo. they have winter gear, heattech or somthing like that. their not very thick but trusts me they keep your feet nice and warm. theyl set you back  about 70 kuai for 2 pairs. but worth it.

One of the most bizarre places that you would find thick warm socks is on the streets of Beijing. I know a lot of them have very thick socks. I got a pair of gloves that were pretty thick. Actually I do not think they were warm at all. But I'm sure the socks could be even warmer. Also I agree that the Japanese stores hold the thickest socks. Uniqlo being one of them and their is another japanese store that sells socks specifically. I cannot put my thumb on it but it is on the basement floor at the Joy City if you have ever been. The socks are expensive but they are warm probably the same quality of uniqlo the only difference is they sell specifically socks only so you know you will get a good deal there. 

They sell ultra-thick Tibetan wool socks at Panjiayuan Antique market. They saved my life last year when I went on a super-freezing day wearing summer, ankle socks. They cost about 30 kuai but were so warm. The only thing is, they are so thick that your shoes may suddenly feel too small.