I have those, too. Use a lighter shade of concealer than matches your make-up. This is about all that you can do. You can try dotting a very light colored concealer just in the hollowed-out part. Do this step last or you will just have to do it all over again, in my experience.
My eyes are deep set and thin skinned too. Highlighting concealors, the kind with little sparklies in it to reflect light, can help.
But on me, I think the emphasize the difference between the skin under the eye and the completely different skin on my cheeks. So I keep experimenting, but I usually decide that the best thing is an extra heavy application of my foundation.