A thermal wind is defined as the vector difference between two actual winds at different levels in the atmosphere, conventionally calculated (as in the case of thickness q.v.), by subtracting the lower-level wind from the upper-level wind. Put differently, and more practically, it is that velocity component (remember: velocity has both speed and direction), that must be added to a lower level wind to produce the upper level wind. Graphically, these statements can be demonstrated thus:....

Although the principal thermal wind used in operational meteorology is that through the layer between 1000 hPa and 500 hPa, in fact thermal wind calculations can be applied between any two levels in the atmosphere.
In the atmosphere, air moves (the wind 'blows'), because of pressure differential between two points. This is usually demonstrated at mean sea level, using as examples the sea breeze, or the Asia monsoon. Why this should be so can be demonstrated when it is remembered that heat gain or loss by a column of the atmosphere produces expansion/contraction of that column:
consider

1. Initially, with both columns having the same mean temperature, there is no pressure differential between them at any level.
2. Column B is now warmed, and expands.
3. Whilst the total amount of atmosphere above P(L)A=P(L)B, i.e. there is no pressure difference at the lower level (usually taken to be msl), there is now a pressure difference at P(U), whereby P(U)B>P(U)A, due to the expansion of the column: there is a bit more of the atmosphere above P(U) than there was before.
4. So, a thermal difference exists between the two columns, this giving rise to the notional "thermal wind", which is a convenient way of visualising the way real pressure differences are set up, leading to real winds at upper levels.
thus strong thermal winds imply marked difference in actual wind with heights, and strong thermal winds (and therefore strong 'real' winds), are associated with frontal boundaries and strongly-sheared convective situations. An example is shown below:

Thermal winds 'blow' so as to obey Buys Ballot's Law with cold thicknesses to the left in the NH.
The 'standard' layer through which the thickness (and associated thermal wind component) are calculated in synoptic meteorology is the 500-1000 hPa layer. However, whereas it is possible to calculate the notional 1000 hPa height, even if it is below the msl, things are a little more difficult with thermal wind calculations.
The lower level wind is often replaced by the 925 hPa or 900 hPa wind, or even the 850 hPa wind if these are not available. However, in these cases, care needs to be exercised when using such thermals alongside the accompanying thickness plots.
Because low level winds in a developmental (mid-latitude) situation are much less than those at jet levels, from the definition of the TWC, the polar front jet is really a large-scale hemispheric thermal wind -- blowing in response to large scale changes in distribution of air of differing temperature -- i.e. air mass discontinuities. Change the arrangement of the blocks of warm and cold air, and you change the direction, and strength, of the upper level jet. This is why, for example, study of sea surface temperature anomalies are important for long-term climate change.