Yes whipping cream will thicken when heated.
It takes around 1 minute of heating the whipping cream to start seeing the whipping cream thickened.
Be sure to stir the whipping cream if heating the whipping cream in a sauce pan or pot and heat the whipping cream on a low heat setting so that it does not overcook.
If you're making sauce with the whipping cream you can whisk the butter-flour mixture (also known as a 'Roux') for about 2 minutes to cook the taste of flour out.
The heavier the whipping cream the better sauce you can make and it's easier to thicken heavy whipping cream than it is to thicken thinner whipping cream.
Just whisk the whipping cream on low heat simmer setting for around 1 to 2 minutes until the whipping cream has thickened enough for you.