Is there a shampoo that will give my girl volume to her feathering and make it look (hopefully) a bit thicker?

Chris Christianson does a product called Thick and Thicker (it suits Marco well!!) you use after shampooing, leave in for a while, wash out and it really does help!

Would it help to thicken the hair on the legs.

take a look at plush puppy they do a volumising creme and a part on thier website tells you how to us it.

I've tried that not very good

You could try the new K9 competition shampoo etc that is just in the country.  I have used it on my poodles and feel it has added volume, but remember shampoos are not miracle workers they can't create hair thats not there :)  also what shampoo or product that works on one dogs coat may not on another dog.  It is only available from Technogroom