I've embarked on a Terrifying map and within five minutes of setting up, a nefarious ash wafted across the land and turned a bunch of Giant Badgers into thralls. I was prepared, and bunkered up immediately. No casualties and I am preparing my metal industry to churn out nothing but cages so that I can harness the power of these beasts.
I've already read a thread about husks being tested similarly. There probably won't be much difference, but this is for science!
Whatever questions you have about thralls, here is where I'll try to figure out the answer.
Data so far:
Thrall-ism is not contagious. It is only induced by the ash cloud.
Thralls don't have trapavoid. Use cage traps liberally.
Thralls are not invincible. Giant badger boar thralls fighting kitten thralls have ripped the kittens heads off and killed them. Thralls die when their upper body is separated from their lower body. Adamantine battleaxe, if you have one. Does this make a repeating serrated disc trap a potential thrall control device?
Thralls are completely immune to magma. They will burn and burn and accumulate damage, but will not succumb to pain or fall unconscious or really be bothered by it in any way.
Thralls are immune to drowning. I've had a yak and a water buffalo sitting at the bottom of a drowning chamber for a while now and they haven't even complained.
If you wish to truly dispose of a thrall, dump its cage into the magma sea. You should get a notification about it dying in its cage. If not, it's at the bottom of the magma sea and won't bother anyone anymore.