I'm a 15 y o guy. My cheeks are covered with small white hairs and are very visible in the sun. I shaved them today. Is this bad? Are they going to come back thicker?

That's just puberty at work on your body. You can keep on shaving them off or just stop until they come in thicker.

It has begun! Once you start shaving you will notice more and more and darker hair as time passes. Initially, way back when I shaved once a month or so. Then after a year or so it crept up to twice a month.  Then the frequency increased till at one time, in my early 30s and beards were not accepted in the the military, I had to shave twice a day.

Basically you are on the threshold of manhood. Enjoy the ride.