You're correct about rain, being as it is a dense liquid. However you're wrong about humid air being "thicker" than dry air; in fact it is less dense. Pilots have to take this into account regarding performance. But the effect is relatively small; at 30degC saturated air is about 2% less dense than dry air.
To a first approximation, air is 80% N2 and 20% O2, for an average molecular weight of about 28.8. H2O on the other hand weighs about 18. At the above-mentioned 30degC, a bit over 4% of the saturated air is water molecules.