We investigated the influence of thickness reduction on the transport properties of graphite microflakes. Using oxygen plasma etching we decreased the thickness of highly oriented pyrolytic graphite (HOPG) microflakes from $sim 100$~nm to $sim 20$~nm systematically. Keeping current and voltage electrodes intact, the electrical resistance $R(T)$, the magnetoresistance (MR) and Raman spectra were measured in every individual sample and after each etching step of a few nm. The results show that $R(T)$ and MR can increase or decrease with the sample thickness in a non-systematic way. The results indicate that HOPG samples are inhomogeneous materials, in agreement with scanning transmission electron microscopy images and X-ray diffraction data. Our results further indicate that the quantum oscillations in the MR are not an intrinsic property of the ideal graphite structure but their origin is related to internal conducting interfaces.