Not sure what others do, but what I have done in the past goes something like this:
1. Inspect rough for obvious color bars
2. Once you've determined where the fire is, remove any deposits on the face of it that might be there, but do so slowly. The objective here is to expose the color so you can go to step 3
3. Judging by the way the fire is, and taking into account any inclusions that might exist, work out the basic shape that you want to end up with. If you are going to do a calibrated size, make sure you mark the area 1mm or more larger than the final size.
4. If it's a larger stone, and you have a trim saw, sometimes it helps to use the saw to remove larger pieces of material. 2mm and 3mm may seem small, but if you can trim off excess and still get an opal out of the excess, you're ahead of the game as to if you just grind it all off.
5. At this point, you can take the thickness into consideration. You have to remember that when you dome the cabochon, it's going to take off a small amount on the top, but more on the sides, etc.
High and medium dome cabochons are easier to deal with in regards to thickness, but with low dome ones you will want less of a dome shape and more of a low dome with a rolled edge (otherwise you wind up with easily chipable edges)
On the large end of things, if you have a cabochon that is 3cm x 4cm or something, it doesn't need to be 2cm thick, but you're not going to want to do a medium/high dome on something like that either. Just go with a low dome, save as much fire as you can, and then leave it in a thicker state with the very edges nearly vertical, but bevelled/rounded to meet the edge of the dome.
The main thing I go for when cutting where thickness becomes an issue, is to get the face of the cabochon looking how I want, along with the overall shape of the stone, and then after it's face is polished up to 3k, I'll take material off the back if needed.
Never grind away fire to make a stone thinner. :)
As Robin said, if you have no choice but to cut a stone thin, you can place other material between it and the inside of a setting, though if you have a super thin opal that has some transparency to it, you might consider getting some basalt, jet, or other black backing stone, and make it a doublet. Then the stone you add is up to you for thickness. From personal experience, you *can* use black jade as a backing stone, but you're basically gluing a fragile Mohs Scale 5.5/6.0 stone, to what is considered by some to the be the toughest stone on earth. As a result, grinding can yield some less than desirable results.
Final note: I'm not a pro by any means, just speaking from personal experience.