I also have fine, thin hair. My hair is naturally blond, although I do get highlights. I've actually noticed that it helps make my hair a little less fine due to the bleach making each strand a little bit thicker. My hair doesn't look damaged at all, so if you go to a good colorist I don't think you have anything to worry about. I go to a salon to get it done, not having had the world's best results when trying it on my own (blond can go so, so wrong...). So I'm not precisely sure what it is that he uses on my hair.
I think people who dye their own hair are very brave - I guess if you're doing a single-process color and you are sure of the color you want, you could do it on your own. But I think you may be best off at a salon, at least for the first time. The colorist can tell you a good product to use at home and even show you how, if you're intent on doing your own color at home.