I'm not sure about the thyroid. I know that those still contain thyroid hormone. I think it would be OK to eat once in a while, but definitely not on a regular basis as it would be like taking Synthroid.
I have no idea about the adrenals.
I think the thymus (AKA as sweetbread, the other sweetbread being pancreas) is OK to eat fairly regularly. I think its main function is with the immune system. I am very jealous that you have access to this. I have been wanting to try sweetbreads for a long time but haven't found a vendor who carries them yet.