How Effective is Thermage for Thigh Cellulite?

Thermage has the capacity to tighten up dermal collagen and the collagen fibers that run through the fatty layer of the skin. That doesn't mean it directly impacts fat cells themselves (at this stage that's still a function of liposuction, laser and, to some degree, Mesotherapy.)
Because you have had successful Mesotherapy, there is a good chance you will see additional improvements with the Thermage (the newer large BodyTip 16 makes the treatment much faster!)
Thermage will firm up the existing collagen and cause an increase of newly developed collagen fibers in the treated skin, so you should see a change. Age has some influence on how long the effects last. Younger people have longer “collagen life” so the new collagen theoretically should last longer. We are all in some level of collagen breakdown as it is a natural function of aging. Younger skin has slower collagen breakdown so younger patients tend to have longer visible results from treatments such as Thermage and the various lasers.
Thermage results are gradual, so don't expect a big final change on day one. Your best expectations should be for a subtle firming. You'll need to maintain your weight and a good exercise and nutrition program. If you gain new weight you may simply disappoint yourself.
Cellulite is actually normal fat pockets that are separated "abnormally" by the fibrous septae - think of these fibers as little tie down anchors. These septae are responsible for the pulling effect and the dimples. Obviously the more fat you accumulate, the more visible the dimples become as the fat cells struggle against the fiber “tie downs”. But even very thin women can often see cellulite, so it's not just a condition that extra weight creates.
The intense heat produced by Thermage into the deeper tissues is what triggers the collagen responses. You'll fare better by choosing an experienced Thermage physician as the treatment energies have a substantial impact on how much your skin responds. It the treatment is "pain free" you probably won't see as much response than if you were to have to grit your teeth with the energy pulses.