A simple spoon almost always tells you the answer–but that answer depends on what you're cooking!
If you are making tomato sauce, for example, when you lift the spoon out of the sauce, it should be thick enough to leave residue on your spoon. If you are making a glaze, on the other hand, you want the glaze to really coat the spoon. A good overall way of telling that your sauce has thickened is to run the spoon across the pan at the beginning of cooking, and note that the ingredients close right back over the pathway of the spoon. Once the sauce begins to thicken, you will be able to see the line in the pan, as if you are drawing it. That line takes longer to fade as the sauce becomes thicker.