Note, what I'm about to say is not the "proper" way to do it.
My group has found that if we get the cake make-up really wet (from drenching our sponge and sopping it all around the cake palette), it goes on thick with just two layers. Example here of 2 layers of Kryolan:
Also, don't rub it into your skin. Just pat the sponge on your skin. Since we get it pretty wet, it doesn't take too many pats.