As long as you have a fish that will sift the sand the thicker is ok. Also, if when you do your weekly water changes sift through it also you will be fine. Sometimes you can get some trapped gas under the sand that can be dangerous to your fish, but as long as you have a sifter or sift it yourself, you will be fine.
Sift to the bottom of the tank. I just use my hands and run my fingers through it is all. If your tank is to high for you to reach down into the tank bottom, then use whatever you clean the bottom with to turn the sand around with it. Just keep in mind, when you are turning the sand around with the device that you clean the tank with, make sure you don't have it syphoning or it will take out your sand of course Just use it as a sifter and move it thru the sand to prevent any gas bubbles.
I usually do the outside of rocks when I do water changes. Under the rocks kind of depends on if you have your rocks sitting on the sand or the sand is around the rocks. If they are in fact sitting on the sand, I would do under them every month. If you are keeping cichlids most of the time they are digging under the rocks and moving sand all the time anyways (building little caves for themselves), so they are doing the work for you. What are you keeping the this tank and what size?