"Aux" is a contraction of "à" and "les" (plural definite article, masculine or feminine), "au" is a contraction of "à" and "le" (singular definite article, masculine).

Examples:

Je pense aux gâteaux. - > I think about the cakes. (more than one cake)

Je pense au gâteau. - > I think about the cake. (just one cake)

Aux is plural (à + les), while au is singular (à + le).