The 8X is only a half-millimeter thinner than the 920, and the Ativ S is 2 mm thinner. (8mm and change instead of 10 mm and change). In my opinion, the difference between 8 mm and 10 mm will not be measurable except in a back-to-back comparison.
The bigger difference is weight. The Ativ S and 8X are both around 130 grams; the Lumia 920 weighs 185 grams, about 50% more. I'm not saying the Lumia 920 will be onerously heavy, but you can tell when one phone weighs 50% more than another.
Trust me on this, I am speaking from experience. I have owned the Samsung Galaxy S2(8.5mm?? I forget), iphone 4s(9.3mm), Xperia S(10.6mm), HTC One X x 2(8.9mm), and currently the GS3(8.6mm). I also had my gf's 12 mm Lumia 800 for a few weeks because it wasn't her birthday yet.
From my experience, from handling to pocketability to comfort etc., when the phone has a 3.5 - 3.7 inch screen, the thickness doesn't matter one iota. The 12mm Lumia 800 was every bit as easy to handle as the iphone 4s. It is when you get into the 4.3 inches above is where the thickness matters.
The GS2, One X, and GS3 all were much easier to pocket than the Xperia S.
So my theory is this. If your phone has a tiny 3.5 inch screen it doesn't matter. If you go for a phone with a big screen, some of that added real estate needs to be taken away from somewhere else in order to make it even with smaller phones in terms of pocketability and handling. Usually the big screen phones are thin for this purpose. If you add to the size, you have to take it away somewhere to maintain the size equilibrium.
This is where I feel all of the Windows flagships besides the Ativ S fails. Although LG pretty much went all out on the Optimus G and that hardware is very rare, there is no excuse for the Optimus G, a 4.7 inch screen phone loaded with all the latest technology, to be smaller than the HTC 8x overall.
Don't get me wrong, I will most likely end up with one of the 8x or Lumia 920 because the Ativ S is too similar to my current phone, but I really REALLY wished that they were both smaller. Especially the 8x since the screen is only 4.3 inches.