Anisotropy in thermal conductivity is promising for directing the heat flow pathways in modern applications including thermal management of electronic devices. While some materials, like graphite, have strong anisotropy when comparing the in plane thermal conductivity to cross plane thermal conductivity, few naturally occurring materials have significant anisotropy within the in-plane directions, with an anisotropy ratio of ~3 in few-layer black phosphorus being among the highest. In this letter, we propose to control the thermal conduction anisotropy by periodically modulating the thickness of thin films. Specifically, we model the thermal conduction in silicon-based thickness-modulated films using full three-dimensional simulations based on the phonon frequency-dependent Boltzmann Transport Equation (BTE). Our simulations demonstrate that phonon scattering with appropriately sized and shaped thickness modulation features leads to significant anisotropy in thermal conduction. In the diffusive regime, the same type of features lead to relatively low anisotropy (as calculated using conventional heat diffusive equation). Thus, the enhanced thermal conduction anisotropy with small features comes from the phonon scattering and size effects. Modulating the thickness of the thin films allows tuning the thermal anisotropy ratio across an order of magnitude. Moreover, the proposed structures can be fabricated with currently available silicon-based nanofabrication techniques, without the need for exotic or expensive materials.