Thrall Wizards are your usual sorcerous mortal servants/Saruman cosplayers/Harry Potter lookalikes of the Thousand Sons Chaos Space Marine Legion, drawn from the inhabitants of the Planet of Sorcerers.
When the Thousand Sons arrived on their new homeworld after their escape from the Burning of Prospero, they found it to be uninhabited. Over the many thousands of years since that time, the Thousand Sons have brought so many captives back with them from raids out into the galaxy that the Planet of Sorcerers now possesses a sizeable non-Legionary population. From this population are drawn the Thrall Wizards.
Surprisingly/unsurprisingly (Depending on your views and perspectives of the Thousand Sons), humans captured by a Thousand Sons raid don't always go on the pointy end of a Daemon Summoning Ritual. In most cases, recruiting these captured humans to boost the numerically low Thousand Sons is seen as a pragmatic and a win-win tactic for the sons of Magnus. Of course, psychically or sorcerously inclined individuals are more prized by the Thousand Sons, and many such mortals captured by them may find themselves bonded to a Thousand Son Sorcerer as an arcane assistant. In other words being captured by the Thousand Sons is probably one of the best things that can happen to a person in 40k, even by modern standards of good.
Even the most ignorant humans can find a home in the ranks of the Thrall Wizards, as if a Sorcerer's Thrall Wizard Band is large enough, they can be apprenticed to a Thrall-Champion, in order to learn the simplest sorcerous tasks required by their masters, and provide supporting magic in battle. In this way, they can begin a career that may lead to becoming a fully fledged wizard in their own right, and perhaps further...for some Chaos Champions and even Daemon Princes of Tzeentch are said to have once been Thralls...as are many those-who-must-not-be-named. How reasonable.
Because they are (Mostly) Human, Thrall Wizards are quite squishy. Thrall Wizards are often the main crew members riding on top the Silver Towers of Tzeentch where they can roleplay as
Jeremy Irons Mage Profion whilst screaming "LET THEIR BLOOD RAAAAIIIINNNN FROM DA SKYYYYYYYYYYYYY!". If there ever was a place in which we Neckbeards can not only survive but prosper in the most hilariously /tg/ approved way possible within the Grimdarkness of the Far Far Future, it would to be inducted as a Thrall Wizard.