We examine thermal light diffracted through a double slit using photon-number-resolved detection to directly measure high-order spatial correlations, and we see sinusoidal modulations of those correlations. The fringe width can, in principal, be made arbitrarily small, and we have experimentally obtained fringe widths as small as 30 nm with 800 nm wavelength light. This extreme sub-wavelength resolution, along with this direct detection technique, offers potential for high precision measurement applications. (C) 2014 AIP Publishing LLC.