Is there a way to set the line width for the Line
primitive in XNA 4.0?
In OpenGL, the equivalent would be glLineWidth();
No, you will have to create two triangles per line to get it.
Here explain it to OpenGl users and offer a code solution:
http://bobobobo.wordpress.com/2009/02/16/drawing-primitives-in-xna-from-a-vertex-buffer/