Custards are generally thought of as sweet desserts, like puddings, but using the same techniques works for thickening sauces.
This relies on the principle that egg yolks thicken when heated to between 149°F and 158°F. Many egg-thickened sauces (Hollandaise being the most famous) are the result of heating the sauce to this temperature so that the proteins bond with the liquid to thicken the sauce. Overheating will cause the egg yolk to curdle.
If you are worried about overcooking, use a thermometer and remove the sauce from the heat the second the temperature is 150°F. Whisk continuously as the sauce cools. Chill immediately.
This is the principle behind making a thick sauce for something like Cole Slaw. Heating the liquids (milk and vinegar) with the egg yolks until it begins to thicken and then stopping. The sauce remains thick because the molecular structure of the eggs binds to the proteins in the milk.