Hi remalex9, not disagreeing with the point re a line width slider but heres a couple of work-arounds:

The method I use (which I hate doing only a little less than trying to pick a pt number) is to scale a copy of my line or circle until the line width is what I want - copy the width (say 4.42pt) - select the original object and paste 4.42pt into the line width box.
As an alternative Cut (Ctrl+X) the shape your happy with the line width, then select the original and Ctrl+Shift+A to paste attributes and that line width is applied to your original.

As an alternative way, create your shape with whatever line width. Arrange/convert line to shape. Now use my favourite Xara tool, the Contour Tool, to resize the ex line width to whatever you wish. Acts very like a slider. Of course it's no longer a line but a shape, however for the attachment you've included I think this is a far better method.