type
  TMyThread = class( TThread )
    private
      FList : TObjectList;
    public
      procedure AddToList( AList : TObjectList );
      procedure RemoveFromList( AList : TObjectList );
      destructor Destroy; override;
  end;

procedure TMyThread.AddToList( AList : TObjectList );
begin
  AList.Add( Self );
end;

procedure TMyThread.RemoveFromList( AList : TObjectList );
begin
  AList.Remove( Self );
end;

destructor Destroy;
begin
  RemoveFromList( FList );
  inherited;
end;