Visual C# (Windows) Guide
SFML Graphics: Drawing Lines - RectangleShape

If you want more control over the appearance of the line, you can use a rotated RectangleShape as your line.

Adding this method to your canvas makes it easier to define and add lines. 

        public void AddRLine(Vector2f Start, Vector2f End, 
            float Thickness, SFML.Graphics.Color LineColour)
        {
            Vector2f diff = End - Start;
            float length = (float)Math.Sqrt(diff.X * diff.X + diff.Y * diff.Y);
            RectangleShape line = new RectangleShape(new Vector2f(length, Thickness));
            line.FillColor = LineColour;
            line.Origin = new Vector2f(0, Thickness / 2);            
            line.Position = Start;
            // Calculate angle in degrees
            float angle = (float)(Math.Atan2(diff.Y, diff.X) * 180.0 / Math.PI);
            line.Rotation = angle;
            this.AddShape(line);
        }

The following code for your main form can generate some lines for you with random colours and thicknesses,

    public partial class Form1 : Form
    {
        private SFML.Graphics.Color[] colours =
        {
            SFML.Graphics.Color.Blue,
            SFML.Graphics.Color.Green,
            SFML.Graphics.Color.Red,
        };

        private Random rng = new Random();
        public Form1()
        {
            InitializeComponent();

            // Create an instance of the canvas and add to the form
            SFMLCanvas Canvas = new SFMLCanvas(400, 400, SFML.Graphics.Color.White);
            Canvas.Location = new Point(20, 20);
            this.Controls.Add(Canvas);
            Vector2f a, b;
            float thickness;
            for (int i = 0; i < 10; i++)
            {
                a = new SFML.System.Vector2f((float)rng.NextDouble() * Canvas.Width,
                              (float)rng.NextDouble() * Canvas.Height);
                b = new SFML.System.Vector2f((float)rng.NextDouble() * Canvas.Width,
                              (float)rng.NextDouble() * Canvas.Height);
                thickness = (float)rng.NextDouble() * 5 + 1;
                Canvas.AddRLine(a, b, thickness, colours[rng.Next(colours.Length)]);
            }
        }
    }

You may wish to use a separate data structure for lines if the interactions with the lines are different from the other shapes in your program.