If you get an error while using the thicken sheet or extrude function then you'll need to look at the creation curves. If you have splines that aren't tangent it will self intersect before the desired thickness is achieved. If this surface is of your own creation it's pretty easy to fix, but if it's a supplied surface you'll have to re-build it. With enough cross sections you should be able to create a mesh within a .002 range.