Since I get this question so much, the first and foremost thing is to examine your bone structure. Thigh gaps are GENETICALLY DETERMINED. Than, lose fat! Read here about how to do that. The following I found on matchstickmolly:

1. Avoid exercises such as squats, lunges, leg curls, stiff-legged deadlifts, leg extensions and calf raises, especially with heavy weights for now. They DO NOT slim thighs. A piece of cardio machinery you would do well to avoid is the Stairmaster. Although these things are good for you and are often promoted to make thigh smaller, they actually target thigh muscles and can make them bigger. Weight training makes muscle fibers larger.

2. Do cardiovascular exercise to slim thighs. This is the main tool in your arsenal. Your cardio goal should be to burn fat without gaining much muscle mass in the thighs. To do this you need to avoid working the thigh muscles more than necessary. On cardio equipment, keep the resistance low on the elliptical or stationary bike, or the incline low on the treadmill. If you’re running outside, avoid hilly terrain. However, aim for a moderately high intensity for maximum effectiveness.

3. Endurance exercising is one of the most effective exercises to get defined, slim thighs and legs. Endurance runners tend to have very slim legs, especially compared to sprinters who have highly developed and very large thigh muscles.

4. Pay attention to the muscles you feel being targeted. You DON’T want to be working out your thighs too much and making the muscles bigger. Posture othe the elliptical is critical. If you’re standing correctly, it will target your butt, outer thighs and hamstrings, and lessen the strain on your quadriceps (the front of your thighs.)

5. Resistance training is great if you want to increase the shape and definition of your thighs without making them too bulky. You do need muscles to have nice, slim thighs, and resistance training will allow the kind of toning you want. Keep the weights moderately light. Focus on doing more repetitions with less resistance.

6. Yoga and stretching are both great for making your legs appear longer and leaner, especially if you’ve never really stretched and your muscles are tight.