No, its actually a fair distance and I don't believe there is a "ferry" like service there. Your best option is either catch a flight back to San Juan then down to St Kitts (American Airlines is probably the best routes) or catch a flight on LIAT directly (http://www.liatairline.com/) from St Thomas to St Kitts. Never been on that airline so YMMV.
zukracer is correct. St. Kitts is not in the neighborhood and San Juan is really your only choice. I've been to both properties and I'm sure you will love them. IMHO the island of St Kitts is just OK, but St Thomas has a lot going for it from great beaches to lush mountains and a short ferry ride to St John.