I suspect we all have very thin skin in some areas, and very thick skin in others. What our loved ones say probably bothers more of us than not, etc. There are certainly a few select people who can hurt my feelings with a negative comment. But not about my writing.
But I was very luck when it came to writing and a thick skin. I showed the first short story I wrote to not one but two critique groups. Good groups with several professional writers as members. Without exception, they savaged the story, found a dozen things wrong, and said it stood no chance of selling without MAJOR changes.
I took the poor little story home, read it a gain, and decided I liked it as it was. I sent to to a national magazine, and it sold for $450. At the time, that was a lot of money. Just a bit more than my day job paid in a month.
Not having learned my lesson, I showed those groups a second story, and had the same results. They savaged it, I submitted it, and again it sold, this time for $1,000. Then I wrote a short essay. I didn't go back to the groups, but I showed it to a beta I knew, someone who had written and sold a fair number of essays. He hated everything about my essay. He hated the writing, hated the format, hated, I think, the paper it was on. He may even have hated the ink. It sold first time out for for $800.
None of the editors asked for a rewrite, and published the pieces without changing a word. My day job paid just under $450 per month, and those three stories, written in a total of about sixteen hours, brought in $2,250, or just over $140 per hour.
Clearly, either the critique groups and the beta reader were wrong, or I'd found three very foolish working editors.
I've also seen the opposite happen on many occasions. Critique groups and beta readers parsing stories to death, telling the writer he's definitely got what it takes, and then nothing sells. Nothing. For months and years. That has to be disheartening.
It's tough to have a thin skin when something like this happens. But had none of those stories sold, who knows, I may have been discouraged to the point of quitting? I suspect thin skin/thick skin is as much a result of circumstances as of personality.
I do think any sale can help with thin skinitis. I have a friend who went unpublished for several years, with the exception of one small sale to a fairly decent literary magazine. But that one sale kept him going until he was able to start selling to larger magazines, and on a regular basis.
Anyway, I have no idea how thin my skin would be had I made no sales. I do suspect it couldn't have been paper thin anyway, or I wouldn't have submitted that first story without changes after all the savage comments.