The group of 7 thermally emitting and radio-quiet isolated neutron stars (INSs) discovered by ROSAT constitutes a nearby population which locally appears to be as numerous as that of the classical radio pulsars. So far, attempts to enlarge this particular group of INSs finding more remote objects failed to confirm any candidate. We found in the 2XMMp catalogue a handful of sources with no catalogued counterparts and with X-ray spectra similar to those of the ROSAT discovered INSs, but seen at larger distances and thus undergoing higher interstellar absorptions. In order to rule out alternative identifications such as an AGN or a CV, we obtained deep ESO-VLT and SOAR optical imaging for the X-ray brightest candidates. We report here on the current status of our search and discuss the possible nature of our candidates. We focus particularly on the X-ray brightest source of our sample, 2XMM J104608.7-594306, observed serendipitously over more than four years by the XMM-Newton Observatory. A lower limit on the X-ray to optical flux ratio of ~ 300 together with a stable flux and soft X-ray spectrum make it the most promising thermally emitting INS candidate. Beyond the finding of new members, our study aims at constraining the space density of this population at large distances and at determining whether their apparently high local density is an anomaly or not.