If you find your golf ball in the thick rough when you are out on the golf course, the priority has to be to get the golf ball out of this situation and back into play on the fairway.
To do this successfully, take your most lofted golf club and open the club face up. This means rotate the handle to the right, if you are a right handed golfer, and you will see that the club face lies back and adds more loft to the golf club. This means you will be able to generate a high shot to escape the thick rough and get back into play but it also has another reason. When you swing the golf club back towards the ball in the rough, the longer grass will grab hold of the club around the hosel, where the shaft attaches to the club head. When this happens, the grass will slow the speed of this end of the club face down, however the toe end, or far end of the club face will not be slowed down so will accelerate past the heel and hosel and close the club face. If you did not open the face, when this happens the club face would become de-lofted and it would be difficult to get the ball struck on a high trajectory to escape the thick rough.
When you take up your stance, play the ball from the middle of your feet and keep your weight on your left side. This will encourage you to make a steep swing with the club head, or a V shape swing which will allow the club head to attack downwards into the back of the golf ball at a sharp, steep angle that will avoid the club head getting snagged up in the thick rough. If the club head swings through the rough, the rough will grab hold of it and slow it down making it difficult to transfer any speed into the ball to generate distance for the shot. Pick the club head up steeply on your backswing and strike down into the back of the golf ball. Hold the club slightly tighter than usual so that if the club head does get grabbed by the thick grass it does not come out of your hands, and swing firmly to drive the club head through the shot.
Your finish position will be very stunted as the grass grabs the club head so just work on swinging firmly and aggressively into the back of the ball and as much into your follow through as you can.
Remember not to be too ambitious with the distance for this shot. The priority is to get the ball out of the thick rough and get yourself back into the hole.