Cell border can be changed by changing border style via set_border
on a format class:
from xlsxwriter.workbook import Workbook
workbook = Workbook('output.xlsx')
worksheet = workbook.add_worksheet()
format = workbook.add_format()
format.set_border(style=1)
worksheet.write('A1', "Hello, world!", format=format)
workbook.close()
Also see documentation.
UPD: I think you cannot currently change cell border width directly from xlsxwriter.
Hope that helps.