TAnyRunThread = Class(TThread)
     private
       vProc  : TNotifyEvent;
       xParam : TObject;
       property EventProc : TNotifyEvent read vProc write vProc;
     protected
       procedure Execute; override;
     public
       constructor Create(pProc : TNotifyEvent; Sender : TObject);
     end;

procedure TAnyRunThread.Execute;
begin
  if not Assigned(vProc) then Exit;
  try
     EventProc(xParam);
  finally
     Destroy;
  end
end;

constructor TAnyRunThread.Create(pProc : TNotifyEvent; Sender : TObject);
begin
   vProc:= pProc; xParam:= Sender;
   FreeOnTerminate:= True;
   inherited Create(False)
end;

procedure TFMainForm.doSomething(Sender : TObject);
begin
   // что-то делаю
end;

....
   TAnyRunThread.Create(doSomething, Sender);
....