Thoreau's belief in transcendence and a quality of unity and harmony in one's life was nicely brought out in the previous thoughts. I think that part of the desire in living in the natural setting was that Thoreau believed that this setting is the best to achieve the unity and transcendence that was ingrained in his thinking and belief systems. To live in nature allowed for a sense of simplicity, and the best ability to see oneself mirrored in the unifying force that brings about all consciousness. Thoreau argued that this setting, the natural one, is one where individuals are able to bring about a real sense of change and understanding to themselves and their world. To break away from a conformist social setting, clouded with individuals trying to be something that their essence is not, Thoreau advocated for individuals to reclaim this sensibility of essence that was lost. It is this very essence, this very idea, that causes Thoreau to want people to live a more simplified and essence driven existence. This is probably going to be found in a natural setting or a realm apart from a social setting predicated upon wealth, social standing, and materialist upward mobility.
Thoreau's message isn't necessarily to go live in the woods; granted, that is what he did, and he found the experience quite fulfilling. Rather, his main messages center around the themes of simplifying your life, recognizing what is most important--which is not material goods or comforts, and in relying on oneself to be a moral, physical and emotional guide. He feels that too many of us are too busy doing trivial things, and feels that "our lives are frittered away by detail." He thinks that we really need to analyze what we spend our time doing, and whether or not they are truly meaningful. If it isn't, cut it from our lives and live more simply and meaningfully.
Thoreau also believed that we put too much care and concern in what the world or others think of us, when the only person that really mattered was us. He wanted us to stop worrying about fashion, culture, and what society dictated as right and wrong, and rather listen to our own hearts and consciences. This school of thought was strongly supported by many individualists, a school of thought that Thoreau, and his mentor, Ralph Waldo Emerson, belonged to.
I hope that those thoughts helped; good luck!