The only Cathe workouts I don't do much of because of its focus on strength is Pure Strength legs and Slow and Heavy Legs. You can do any of Cathe's other workouts just don't go too heavy on the weights when the muscle group being worked is the quads. And when you do squats, lunges, etc. just make sure you put your weight in your heels so you're working your glutes and hamstrings more.
Also, I totally agree that running is probably the best workout to slim your thighs. Unfortunately I found that if I do too much step aerobics they tend to build up my quads. I guess you could try lowering the step and upping the intensity. I'm just not willing to give up Cathe Step DVDs so I really think that running works wonders to balance things out.