The vignette you are experiencing is due to the diameter of the filter and its rim. Your wide-angle lens is blocked it the edges by fact that the filters you are using are too small. You need to purchase larger diameter filters. As to filter thickness: The key to filter quality is the parallelism of the filter. Filters need to be optically flat and large enough to avoid hindrance of the image forming rays at its margins.
Go with 100 mm square filter system. The major drawback is the up front cost, as well as limited practical interoperability with a collection of round screw-in filters you already own (they can work together, but certain combinations are tricky or downright tedious to work with). The benefit is that you have a selection of 81A and 85C filter manufacturers to choose from, and none of them will vignette on your Nikon 20mm f/4.
Buy a larger filter and a step-up ring (say, 77mm filter size, and 62-77mm step-up). Most step-up rings add minimal depth beyond the filter threads on the lens, thus not adding to vignetting. The depth of the filter, being a larger diameter, is added outside of the angle-of-view of the lens, thus not contributing to vignetting. Here, as with the square filter holder approach, is that you have your choice of several manufacturers of 81A and 85C filters, so you can control more important characteristics (price, clarity, reflection, etc.) than just physical depth.
Kodak used to make gelatin filters that were paper thin. Not sure if they still make them. Vignetting is probably an issue of size/diameter of the filter, though. Consider rectangular filter systems from Lee, HiTech or others.
I personally don't use these filters anymore and dial the correction in photo editing application.