Are you you using the RMB select to make the object the active selection prior to TAB?

The highlight will turn from a dark pink to light pink on selection in Object mode to indicate that the part is active.

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There are several ways to make a hollow cylinder. The following is my usual method:

In Object mode press SPACE>Add>Mesh>Circle

TAB to Edit mode

Press E to extrude and without moving the mouse press ENTER

Press S then either visually scale or enter a number for precision.

Press A twice to select all vertices

Change to a side view using the appropriate NUMPAD key (Press the NUMPAD decimal to frame the active selection in the viewport.)

Press E and left click Regions in the dialog box

Press the X,Y, or Z to constrain the extrusion to the pertinent axis

Visually move the extrusion amount or enter a number.

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Not entirely sure exactly what you mean on the question on adding thickness to the edge of a circle.

If you mean along the tangent axis then switch to a side view and extrude the necessary amount, in effect creating a short open ended cylinder.

If you mean in a planar view then use the section method outlined above for creating the wall thickness of the hollow cylinder.