Your device would have to be reading in mils I think. I used to do conversions from microns. Just Google for the conversions, or look in any paint spec. It is usually just a decimal point shift, but you need to know the units for your device first. In machine tool speak, 1 mil is equal to .001". In the electrical world it might be different, because there are units called circular mils which apply to wire diameters.
Update: I was able to confirm that 1 mil of paint thickness is equal to .001". (I thought so.)
Here is just one resource for calculations that I found. I am sure there are many more.
http://www.geionline.com/wet-film-formulae