Sickness coming from thoughts is a theory. We do know from our investigation of the body and mind, that certain thoughts have certain effects on the body. If there is stress in the body, it can affect the physical health of the body. As far as not getting ill, we need to know the cause and effect relationship of bodily health. There are basic laws that govern the physical body. As far as sickness not coming, according to the Kamma Sutta, the Buddha talked about sickness and illness coming from past Kamma. If you want to have a healthy body then it is important, according to the Kamma Sutta, to not injure living beings. There are a few instances in the scriptures where people, who actually helped with the health of the body, such as doctors, nurses, etc., lived a long, healthy life. So, according to the Kamma Sutta, in order to avoid sickness you have to develop good Kamma.
You also have to understand how health arises in the body and how sickness is prevented in the body, just as with the mind we investigate to understand Dukkha and the cause of happiness. Then to reflect "If I catch the cold already, like many people in this retreat did, what is helpful to do?", to use it as a practice to understand that sickness does come to the body. This is the nature of the body, aging, disease, and death, and illness can be used as a valuable opportunity to get ourselves ready for bigger things, not just colds. So, minor sicknesses can be good practice to see our reaction to not having control over the body. We may take medicine that aids in curing it, but after taking the medicine it is a matter of just observing and understanding that it also follows according to cause and effect, and will heal in its own time. It's beyond our power to control sometimes, but certainly having more healing thoughts in our mind is going to aid in the healing of the body, I believe. Because there is not so much resistance and aversion in the mind, which I believe also tends to lengthen illnesses and injuries, etc. If the body is having sickness, we don't have to make the mind sick along with it.