Thundurus is definitely a pain to capture, with its low catch rate and ability to escape as soon as you encounter it. Your gates problem is because Thundurus switches routes every time you switch.
- Slowly whittle it down. Don't use moves that can put huge dents into it, as an unlucky critical hit can knock it out.
- Inflict non-residual damage status: Sleep and Paralysis can increase your chance to catch it, so do so as soon as possible.
- Block, Mean Look, Spider Web: These moves prevent the Pokemon from escaping every time you encounter it, assuming that you are faster than Thundurus. You can use this and attempt catching it as if were some static legendary. Beware, however - if the Pokemon that used the trapping move switches out, Thundurus will be able to flee the following turn.
- Shadow Tag: Like Block, Mean Look, and Spider Web, Shadow Tag prevents escape. If you have a Wobbuffet, encountering Thundurus when it is in the front of your party will keep it from escaping. Make sure you don't attack Thundurus with Wobbuffet though, as it is risky. You can have it whittled down first before using Wobbuffet as your lead. If you have them, the Gothita family also has Shadow Tag as a Dream World ability, but can whittle down Thundurus.
- Master Ball: If you still have it, and you cannot possibly catch it in some other Ball, Thundurus is a good option to use it on, as every other legendary is pretty easy, maybe except Kyurem. But this should be a last resort.